Results 71 to 80 of about 9,257 (211)

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
core  

A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]

We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
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MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS

Revista Colombiana de Estadística, 2009
Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
doaj  

Alleviating small sample problem in continuous forest monitoring with remote sensing-assisted Copulas

Ecological Indicators
With model-assisted (MA) estimation, remote sensing (RS) has provided auxiliary modeling data to enhance precision in estimators of forest parameters for continuous forest monitoring as mandated by various official reporting instruments.
Xinjie Cheng, Zhengyang Hou, Annika Kangas, Jean-Pierre Renaud, Hao Tang, Weisheng Zeng, Qing Xu   +6 more
doaj   +1 more source

Why Are FGM Copulas Successful? A Simple Explanation

Advances in Fuzzy Systems, 2018
One of the most computationally convenient nonredundant ways to describe the dependence between two variables is by describing the corresponding copula.
Songsak Sriboonchitta, Vladik Kreinovich
doaj   +1 more source

Copulas and bivariate risk measures : an application to hedge funds [PDF]

With hedge funds, managers develop risk management models that mainly aim to play on the effect of decorrelation. In order to achieve this goal , companies use the correlation coefficient as an indicator for measuring dependencies existing between (i ...
Makram Ben Dbadis, Rihab Bedoui
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Modelado de parejas aleatorias usando cópulas Modelling Random Couples Using Copulas

Revista Colombiana de Estadística, 2009
Las cópulas se han convertido en una herramienta útil para el modelado multivariado tanto estocástico como estadístico. En este artículo se revisan propiedades fundamentales de las cópulas que permitan caracterizar la estructura de dependencia de ...
GABRIEL ESCARELA, ANGÉLICA HERNÁNDEZ
doaj  

Copulas and Dependence models in Credit Risk: Diffusions versus Jumps [PDF]

The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of ...
Elisa Luciano
core  

Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence

Dependence Modeling, 2013
Nelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula ...
Bernard Carole, Liu Yuntao, MacGillivray Niall, Zhang Jinyuan   +3 more
doaj   +1 more source

Discrete imprecise copulas

Fuzzy Sets and Systems
In this paper, we study discrete quasi-copulas associated with imprecise copulas. We focus on discrete imprecise copulas that are in correspondence with the Alternating Sign Matrices and provide some construction techniques of dual pairs. Additionally, we show how to obtain (full-domain) self-dual imprecise copulas through patchwork techniques.
Tomaž Košir, Elisa Perrone
openaire   +3 more sources