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Drought risk management in agriculture: A copula perspective on crop diversification
Agricultural Economics, Volume 55, Issue 5, Page 823-847, September 2024.Abstract Drought events are a major cause of large crop yield losses with implications for food security and farmers’ incomes. Growing multiple crops simultaneously during a cropping season is a well‐known on‐farm risk management strategy to cope with these drought risks.
Jonas Schmitt +3 more
wiley +1 more source
Probabilistic optimal power flow computation for power grid including correlated wind sources
IET Generation, Transmission &Distribution, Volume 18, Issue 14, Page 2383-2396, July 2024.Probabilistic optimal power flow computation using Liouville copula and latttice rule. Abstract This paper sets out to develop an efficient probabilistic optimal power flow (POPF) algorithm to assess the influence of wind power on power grid. Given a set of wind data at multiple sites, their marginal distributions are fitted by a newly developed ...
Qing Xiao, Zhuangxi Tan, Min Du
wiley +1 more source
Copula models in machine learning [PDF]
, 2015 The introduction of copulas, which allow separating the dependence structure of a multivariate distribution from its marginal behaviour, was a major advance in dependence modelling.
Rey, Mélanie
core +1 more source
Nonparametric estimation of the tree structure of a nested Archimedean copula
One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to estimate this structure is presented.
Uyttendaele, Nathan, Segers, Johan
core +4 more sources
False Discovery Rate Control under Archimedean Copula
, 2014 We are concerned with the false discovery rate (FDR) of the linear step-up test φLSU considered by Benjamini and Hochberg (1995). It is well known that φLSU controls the FDR at level m0q/m if the joint distribution of p-values is multivariate totally ...
Bodnar, Taras, Dickhaus, Thorsten
core +1 more source
Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
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
core
Convergence of Archimedean Copulas [PDF]
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.
core
Evolution of the Dependence of Residual Lifetimes [PDF]
, 2013 We investigate the dependence properties of a vector of residual lifetimes by means of the copula associated with the conditional distribution function.
Durante F +5 more
core +1 more source
Properties of Hierarchical Archimedean Copulas [PDF]
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely
Yarema Okhrin +2 more
core
Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]
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.
core