Estimation of Distribution Algorithms based on Nested Archimedean Copulas [PDF]
Procedia Engineering, 2011 AbstractThe main hurdle for EDAs is how to estimate and sample the joint probability distribution, especially in d-dimensiona case (d>2). Copula theory provides a useful tool for multivariate probability analysis, which separates joint probability distribution function into product of marginal distributions.
Wang, Xiaoping +3 more
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Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas [PDF]
International Journal of Mathematics and Mathematical Sciences, 2021 In financial analysis, stochastic models are more and more used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence of losses on securities, and the potential loss of the portfolio is divided into sectors each including two subsectors.
Wendkouni Yaméogo, Diakarya Barro
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Nonparametric estimation of the tree structure of a nested Archimedean copula [PDF]
Computational Statistics and Data Analysis, 2014 25 pages, 9 ...
Johan Segers
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Computational Statistics, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roel Braekers, Mírzá Nazmul Hasan
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Densities of nested Archimedean copulas
Journal of Multivariate Analysis, 2013 Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap.
Marius Hofert, David Pham
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Tourists’ travel mode and length of stay: Application of a fully nested Archimedean copula structure
Transportation Research, Part A: Policy and Practice, 2023 Taha Hossein Rashidi, Tay Koo
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Pricing Multi-Event-Triggered Catastrophe Bonds Based on a Copula–POT Model
Risks, 2023 The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds
Yifan Tang +3 more
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Assessing the hydrodynamic boundary conditions for risk analyses in coastal areas: a multivariate statistical approach based on Copula functions [PDF]
Natural Hazards and Earth System Sciences, 2012 This paper presents an advanced approach to statistically analyse storm surge events. In former studies the highest water level during a storm surge event usually was the only parameter that was used for the statistical assessment.
T. Wahl, C. Mudersbach, J. Jensen
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Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Journal of Statistical Software, 2020 To extend the current implementation of copulas in MATLAB to non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails, the toolbox HACopula provides functionality for modeling with hierarchical (or nested) Archimedean ...
Jan Górecki +2 more
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Nested Archimedean Copulas MeetR: ThenacopulaPackage [PDF]
Journal of Statistical Software, 2011 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 of falling into hypercubes, as well as evaluation of characteristics such as Kendall's tau and ...
Hofert, Marius +1 more
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