Results 11 to 20 of about 178,829 (130)
Sampling nested Archimedean copulas with applications to CDO pricing
, 2010 Copulas are distribution functions with standard uniform univariate margins. One particular parametric class of copulas is the class Archimedean copulas. These copulas are explicit and can be expressed in terms of a one-dimensional function called the generator of the Archimedean copula. Archimedean copulas are permutation symmetric in their arguments.
Hofert, Marius
openaire +3 more sources
Causal Inference for First Non-Fatal Events With the Competing Risk of Death: A Principal Stratification Approach. [PDF]
Stat MedABSTRACT In clinical trials involving both mortality and morbidity, an active treatment can influence the observed risk of the first nonfatal event either directly, through its effect on the underlying nonfatal event process, or indirectly, through its effect on the death process, or both.
Sun J, Cook T.
europepmc +2 more sources
Journal of Forecasting, Volume 42, Issue 8, Page 2139-2166, December 2023., 2023 Abstract We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns from 2001 to 2022, a period that includes the 2008 financial crisis, the 2011 European sovereign debt crisis, the 2020 COVID‐19 pandemic crisis, and the 2022 Russian invasion of Ukraine with the resulting energy ...
Maziar Sahamkhadam, Andreas Stephan
wiley +1 more source
D‐vine‐copula‐based postprocessing of wind speed ensemble forecasts
Quarterly Journal of the Royal Meteorological Society, Volume 149, Issue 755, Page 2575-2597, July 2023 Part B., 2023 In the global postprocessing of wind speed ensemble forecasts, the D‐vine copula quantile regression (DVQR) is able to substantially outperform the boosted zero‐truncated ensemble model output statistics with gradient‐boosting extensions (tEMOS‐GB) with respect to the continuous ranked probability skill score (CRPSS), as shown in the figure.
David Jobst +2 more
wiley +1 more source
Environmetrics, Volume 34, Issue 3, May 2023., 2023 Abstract This paper proposes a smooth copula‐based Generalized Extreme Value (GEV) model to map and predict extreme rainfall in Central Eastern Canada. The considered data contains a large portion of missing values, and one observes several nonconcomitant record periods at different stations.
Fatima Palacios‐Rodriguez +2 more
wiley +1 more source
Mathematical Problems in Engineering, Volume 2023, Issue 1, 2023., 2023 With the sharply increased development of variable renewable energy resources (VRERs) in recent years, the hydro‐wind‐photovoltaic (PV) hybrid system (HWPHS) has the prospective to enhance the grid integration of VRERs. Nevertheless, the intense variation associated with wind and PV generation causes uncertainties in the long‐term operation of the ...
Huaying Su +6 more
wiley +1 more source
Earth's Future, Volume 10, Issue 8, August 2022., 2022 Abstract Compound flooding, caused by the simultaneous or successive occurrence of two or more flood mechanisms, is mainly associated with extreme precipitation, river overflows, and storm tides across coastal areas. The interdependencies between these components can increase the risks of flood impacts, threatening coastal communities and ...
Farshad Jalili Pirani +1 more
wiley +1 more source
Copulae: An overview and recent developments
WIREs Computational Statistics, Volume 14, Issue 3, May/June 2022., 2022 Different distributions through different copulae and margins Abstract Over the decades that have passed since they were introduced, copulae still remain a very powerful tool for modeling and estimating multivariate distributions. This work gives an overview of copula theory and it also summarizes the latest results.
Joshua Größer, Ostap Okhrin
wiley +1 more source
Dynamic Fatigue Analysis of High‐Speed Trains Gearbox Using Copula Function
Mathematical Problems in Engineering, Volume 2022, Issue 1, 2022., 2022 As a key component of the transmission system of high‐speed trains, the reliability of gearbox is crucial to the overall reliability and driving safety of high‐speed trains. In this work, a comprehensive reliability model for the key parts of the gearbox including the driving and driven gears, bearings, and gearbox housing is developed, which combines ...
Yumei Liu +5 more
wiley +1 more source
Nested Copula Model for Overall Seismic Vulnerability Analysis of Multispan Bridges
Shock and Vibration, Volume 2022, Issue 1, 2022., 2022 Piers and bearings influence each other in earthquakes, and the failure of any component will affect the whole function of bridges. Thus, it is critical to consider the correlations between multiple components in the seismic vulnerability analysis of the overall bridge system.
Ming Ma +5 more
wiley +1 more source