Results 11 to 20 of about 361 (49)
Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
The Scientific World Journal, 2015 This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang +3 more
doaj +1 more source
Axioms, 2022 This paper introduces methodologies in forecasting oil prices (Brent and WTI) with multivariate time series of major S&P 500 stock prices using Gaussian process modeling, deep learning, and vine copula regression.
Jong-Min Kim, Hope H. Han, Sangjin Kim
doaj +1 more source
Time series with infinite-order partial copula dependence
Dependence Modeling, 2022 Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of models that ...
Bladt Martin, McNeil Alexander J.
doaj +1 more source
Estimating the Joint Probability of Scenario Parameters With Gaussian Mixture Copula Models
IEEE Open Journal of Intelligent Transportation SystemsThis paper presents the first application of Gaussian Mixture Copula Models to the statistical modeling of driving scenarios for the safety validation of automated driving systems. Knowledge of the joint probability distribution of scenario parameters is
Christian Reichenbacher +3 more
doaj +1 more source
Energies, 2021 Deterministic load flow analyses of power grids do not include the uncertain factors that affect the network elements; hence, their predictions can be very unreliable for distribution system operators and for the decision makers who deal with the ...
Harshavardhan Palahalli +2 more
doaj +1 more source
Regresi Median Pada Copula Bivariat
JTAM (Jurnal Teori dan Aplikasi Matematika), 2019 Abstrak: Analisis regresi adalah analisis yang sering digunakan dalam segala bidang yang bertujuan untuk memodelkan hubungan antara dua jenis variabel tak bebas dengan satu atau variabel bebas. Regresi linier masih memiliki beberapa kekurangan, maka dari
Geraldus Anggoro Rinadi +2 more
doaj +1 more source
On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
doaj +1 more source
Estimation of Copula Density Using the Wavelet Transform
مجلة بغداد للعلومThis paper proposes a new method to estimate the copula density function using wavelet decomposition as a nonparametric method, to obtain more accurate results and address the issue of boundary effects that nonparametric estimation methods suffer from ...
Fatimah Hashim Falhi +1 more
doaj +1 more source
Simulation of potential evapotranspiration values based on vine copula
Meteorological Applications, 2021 Vine copula had a great impact on the study and analysis of dependence structures in various sciences. In multivariate analyses with dimensions of more than two variables, it is associated with computational complexities that solve vine copulas and these
Abbas Khashei‐Siuki +3 more
doaj +1 more source
Agriculture, 2023 This study analyzed sea salt production and compared the technical efficiency level and the technology gap between traditional technology and High-Density Polyethylene Geomembranes (HDPE GMB) technology in the Phetchaburi province using a copula-based ...
Roengchai Tansuchat
doaj +1 more source