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Copulas for statistical signal processing (Part I) : extensions and generalization
, 2014 Existing works on multivariate distributions mainly focus on limited distribution functions and require that the associated marginal distributions belong to the same family. Although this simplifies problems, it may fail to deal with practical cases when
Wang, Zheng +4 more
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Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
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Dependence Modeling, 2018 We review various methods for constructing bivariate copulas with given diagonal sections from seminal work to the most recent research on copulas with given diagonal and opposite diagonal sections.
Fernández-Sánchez Juan +1 more
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Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine
Journal of Statistical Software, 2013 Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails.
Eike Christian Brechmann +1 more
doaj
New Bivariate Copulas via Lomax Distribution Generated Distortions
AppliedMathWe develop a framework for creating distortion functions that are used to construct new bivariate copulas. It is achieved by transforming non-negative random variables with Lomax-related distributions.
Fadal Abdullah Ali Aldhufairi +1 more
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Constructing and generalizing multivariate copulas: a generalizing approach [PDF]
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula.
Fischer, Matthias J., Köck, Christian
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Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2016 This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro +2 more
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Integrating Systemic Risk and Risk Analysis Using Copulas
International Journal of Disaster Risk Science, 2018 Systemic risk research is gaining traction across diverse disciplinary research communities, but has as yet not been strongly linked to traditional, well-established risk analysis research.
Stefan Hochrainer-Stigler +8 more
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Enjoy the Joy of Copulas: With a Packagecopula [PDF]
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. This article presents the design, features, and some implementation details of the R package copula.
openaire +3 more sources
Properties of Hierarchical Archimedean Copulas [PDF]
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely
Yarema Okhrin +2 more
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