Results 61 to 70 of about 66,819 (259)
Construction of New Copulas with Queueing Application [PDF]
, 2021 Suman Thapa, Yiqiang Q. Zhao
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MathematicsThis paper presents new classes of strong fuzzy negations, fuzzy implications and Copulas. It begins by presenting two theorems with function classes involving the construction of strong fuzzy negations.
Panagiotis Georgiou Mangenakis +1 more
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Vine copulas structures modeling on Russian stock market
Discrete and Continuous Models and Applied Computational Science, 2019 Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in
Eugeny Yu. Shchetinin
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On comprehensive families of copulas involving the three basic copulas and transformations thereof
Dependence ModelingComprehensive families of copulas including the three basic copulas (at least as limit cases) are useful tools to model countermonotonicity, independence, and comonotonicity of pairs of random variables on the same probability space. In this contribution,
Saminger-Platz Susanne +4 more
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Estimating non-simplified vine copulas using penalized splines [PDF]
Statistics and computing, 2016 Vine copulas (or pair-copula constructions) have become an important tool for high-dimensional dependence modeling. Typically, so-called simplified vine copula models are estimated where bivariate conditional copulas are approximated by bivariate ...
Christian Schellhase, Fabian Spanhel
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Journal of Multivariate Analysis, 2018 Revised version: correction of Assumption 3 and some minor induced ...
Fermanian, Jean-David, Lopez, Olivier
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, 2010 We show an analytic method to construct a bivariate distribution function (DF) with given marginal distributions and correlation coefficient. We introduce a convenient mathematical tool, called a copula, to connect two DFs with any prescribed dependence ...
Ball +60 more
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Bounds for Trivariate Copulas with Given Bivariate Marginals
Journal of Inequalities and Applications, 2009 We determine two constructions that, starting with two bivariate copulas, give rise to new bivariate and trivariate copulas, respectively. These constructions are used to determine pointwise upper and lower bounds for the class of all trivariate copulas ...
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On Unit-Burr Distorted Copulas
AppliedMathThis paper introduces a new unit-Burr distortion function constructed via a transformation of the Burr random variable. The distortion can be applied to existing base copulas to create new copula families.
Fadal Abdullah A. Aldhufairi +1 more
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About tests of the “simplifying” assumption for conditional copulas [PDF]
, 2016 We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non- and semiparametric copula models.
A. Derumigny, Jean-David Fermanian
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