Results 81 to 90 of about 9,257 (211)

Discrete copulas and quasi-copulas

, 2022
The thesis gives a brief introduction to two dimensional copulas and related functions. Firstly, we present copulas, their usage and according history. Furthermore, in the text we include some examples and visual representations for this purpose. Copulas are cumulative distribution functions defined on the unit square with marginal distributions which ...
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Asymmetric semilinear copulas [PDF]

, 2007
summary:We complement the recently introduced classes of lower and upper semilinear copulas by two new classes, called vertical and horizontal semilinear copulas, and characterize the corresponding class of diagonals.
De Baets, Bernard, De Meyer, Hans, MESIAR, R, Mesiar, Radko   +3 more
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Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls

Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
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Distorted copulas

Fuzzy Sets and Systems
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Multivariate Variance Gamma and Gaussian dependence: a study with copulas [PDF]

This paper explores the dynamic dependence properties of a Levy process, the Variance Gamma, which has non Gaussian marginal features and non Gaussian dependence.
Elisa Luciano, Patrizia Semeraro
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Modelado de parejas aleatorias usando cópulas

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  

Convergence of Archimedean Copulas

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
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An investigation on the use of copulas when calculating general cash flow distributions. [PDF]

In a paper of 2000, Kaas, Dhaene and Goovaerts investigate the present value of a rather general cash flow as a special case of sums of dependent risks.
Darkiewicz, Grzegorz, Goovaerts, Marc, De Schepper, A, Hua, Y, Vyncke, David   +4 more
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Nested Archimedean Copulas Meet R: The nacopula Package

The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
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Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

, 2005
In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Roch, Oriol, Alegre Escolano, Antonio
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