Results 61 to 70 of about 12,179 (202)
Functionally Constructed Semi Linear Copulas from Fuzzy Implication Operators
AxiomsThis paper proposes a framework for generating symmetric two-branched copulas directly from fuzzy implications via monotone function composition. The proposed approach is based on a two-branched composition principle induced by fuzzy implications and ...
Panagiotis G. Mangenakis +1 more
doaj +1 more source
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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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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Enjoy the Joy of Copulas: With a Package copula [PDF]
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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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
doaj +1 more source
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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Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2020 A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and ...
Fontanari Andrea +2 more
doaj +1 more source
Multivariate dependence modeling using copulas [PDF]
There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring ...
Maddalena Manzi, Marta Cardin
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Copulas : an open field for risk management [PDF]
, 2001 One of the main issues of risk management is the aggregation of individual risks. A powerful concept to aggregate the risks — the copula function — has been introduced in finance by Embrechts, McNeil, and Straumann [1999,2000].
Roncalli, Thierry +4 more
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Some results on weak and strong tail dependence coefficients for means of copulas [PDF]
Copulas represent the dependence structure of multivariate distributions in a natural way. In order to generate new copulas from given ones, several proposals found its way into statistical literature.
Fischer, Matthias J., Klein, Ingo
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