Results 51 to 60 of about 66,819 (259)
Comportement extrémal des copules diagonales et de Bertino
Comptes Rendus. Mathématique, 2021 The maximal attractors of bivariate diagonal and Bertino copulas are determined under suitable regularity conditions. Some consequences of these facts are drawn, namely bounds on the maximal attractor of a symmetric copula with a given diagonal section ...
Genest, Christian, Sabbagh, Magid
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Fusion of Correlated Decisions Using Regular Vine Copulas [PDF]
IEEE Transactions on Signal Processing, 2018 In this paper, we propose a regular vine copula based methodology for the fusion of correlated decisions. Regular vine copula is an extremely flexible and powerful graphical model to characterize complex dependence among multiple modalities.
Shan Zhang +3 more
semanticscholar +1 more source
Theoretical Validation of New Two-Dimensional One-Variable-Power Copulas
Axioms, 2023 One of the most effective ways to illustrate the relationship between two quantitative variables is to describe the corresponding two-dimensional copula.
Christophe Chesneau
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New results on perturbation-based copulas
Dependence Modeling, 2021 A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled.
Saminger-Platz Susanne +4 more
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Time series copulas for heteroskedastic data [PDF]
, 2017 We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and multivariate series.
Ruben Loaiza-Maya +2 more
semanticscholar +1 more source
New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dependence Modeling, 2017 We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature.
Pfeifer Dietmar +2 more
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Adaptive Bernstein Copulas and Risk Management
Mathematics, 2020 We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the number of observations.
Dietmar Pfeifer, Olena Ragulina
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Enjoy the Joy of Copulas: With a Package copula
Journal of Statistical Software, 2007 Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
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New copulas based on general partitions-of-unity and their applications to risk management
Dependence Modeling, 2016 We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows, in contrast to finite partition-of-unity copulas, for tail-dependence as well as for asymmetry.
Pfeifer Dietmar +3 more
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A Collection of New Trigonometric- and Hyperbolic-FGM-Type Copulas
AppliedMath, 2023 Copula analysis was created to explain the dependence of two or more quantitative variables. Due to the need for in-depth data analysis involving complex variable relationships, there is always a need for new copula models with original features.
Christophe Chesneau
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