Results 41 to 50 of about 165,609 (118)
Journal of Probability and Statistics, Volume 2025, Issue 1, 2025.Traditionally, age at first sex (AFS) and age at first marriage (AFM) have been analysed independently. While useful for summarising risk factors for each outcome individually, these approaches offer limited insight into the interdependence between these events.
Jacqueline Materu +6 more
wiley +1 more source
Predicting tail risks by a Markov switching MGARCH model with varying copula regimes
Journal of Forecasting, Volume 43, Issue 6, Page 2163-2186, September 2024.Abstract To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio risk forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS‐C‐MGARCH) model of Fülle and Herwartz (2022). As an empirical illustration, we take the perspective of a
Markus J. Fülle, Helmut Herwartz
wiley +1 more source
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
, 2008 The challenge of efficiently sampling exchangeable and nested Archimedean copulas is addressed. Specific focus is put on large dimensions, where methods involving generator derivatives are not applicable.
Hofert, Marius
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
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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
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Nested archimedean copulas and their applications. [PDF]
, 2016 Nested Archimedean Copulas and Their ...
Šopaitė, Modesta,
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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.
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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.
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