Results 41 to 50 of about 583 (205)
On distance distribution functions-valued submeasures related to aggregation functions
, 2011 Probabilistic submeasures generalizing the classical (numerical) submeasures are introduced and discussed in connection with some classes of aggregation functions.
Halčinová, Lenka +2 more
core +1 more source
Best-possible bounds on the set of copulas with a given value of Spearman's footrule [PDF]
, 2022 In this paper we find pointwise best-possible bounds on the set of copulas with a given value of the Spearman’s footrule co-efficient. We show that the lower bound is always a copula but, unlike the bounds on sets of copulas with a given value of other ...
Amo Artero, Enrique de +3 more
core +1 more source
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
Bayesian Inference for Joint Estimation Models Using Copulas to Handle Endogenous Regressors
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This study proposes a Bayesian approach for finite‐sample inference of the Gaussian copula endogeneity correction. Extant studies use frequentist inference, build on a priori computed estimates of marginal distributions of explanatory variables, and use bootstrapping to obtain standard errors. The proposed Bayesian approach facilitates precise
Rouven E. Haschka
wiley +1 more source
Construction of flipping-invariant functions in higher dimensions [PDF]
, 2016 C
Arias García, José De Jesús +2 more
core +1 more source
Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho
Risk Management and Insurance Review, EarlyView.Abstract We propose a new method to measure systemic risk in the global insurance sector by analyzing interconnectedness among firms under different market conditions. Using a semi‐parametric approach that relies on the Spearman correlation and copula‐based partial dependence, we assess relationships in relatively stable, extremely bullish, and ...
Leonardo Iania +2 more
wiley +1 more source
International Journal of Electrical Power & Energy SystemsDeploying an integrated energy system represents a critical pathway to alleviate energy supply pressure and improve energy efficiency. However, in existing works on the integrated energy system, the uncertainties and multi-type reserves over different ...
P.H. Jiao +3 more
doaj +1 more source
A multivariate piecing-together approach with an application to operational loss data
, 2012 The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivariate extension.
Aulbach, Stefan +2 more
core +1 more source
A Dynamic Model for Extreme Hourly Precipitation
Environmetrics, Volume 37, Issue 3, April 2026.ABSTRACT Despite the scarcity of comprehensive studies at a global scale, many regional analyses report increases in extreme hourly precipitation values. The growing interest in assessing trends in extreme hourly precipitation has outpaced the development of new statistical tools tailored to their features. Typical analyses employ Extreme Value Theory (
Debbie J. Dupuis +2 more
wiley +1 more source
QUASI-CONCAVITY PROPERTY OF MULTIVARIATE DISTRIBUTION FUNCTIONS
Ratio Mathematica, 1995 Conditions under which multivariate distribution functions are quasi-concave, are explored. We prove that many elliptically contoured distributions have quasi-concave distribution functions.
Luisa Tibiletti
doaj