Results 21 to 30 of about 38,637 (65)
Estimation of Copula-Based Semiparametric Time Series Models [PDF]
This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal ...
Yanqin Fan, Xiaohong Chen
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Asymptotic properties of the Bernstein density copula for dependent data [PDF]
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based.
ROMBOUTS, Jeroen V.K. +2 more
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A Bayesian copula model for stochastic claims reserving [PDF]
We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
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Copulas for statistical signal processing (Part I) : extensions and generalization [PDF]
, 2014 Existing works on multivariate distributions mainly focus on limited distribution functions and require that the associated marginal distributions belong to the same family. Although this simplifies problems, it may fail to deal with practical cases when
Wang, Zheng +4 more
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Towards an explanation of copula effects [PDF]
, 2013 This paper deals with a series of semantic contrasts between the copula "be" and the preposition "as", two functional elements that both head elementary predication structures. It will be argued that the meaning of "as" is a type lowering device shifting
Jäger, Gerhard
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Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas [PDF]
Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets.
Ozun, Alper, Cifter, Atilla
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Enjoy the Joy of Copulas: With a Package copula [PDF]
Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
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Copula-based dynamic conditional correlation multiplicative error processes : [Version 18 April 2013] [PDF]
, 2013 We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations.
Hautsch, Nikolaus, Bodnar, Taras
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Efficient Estimation of Copula-based Semiparametric Markov Models [PDF]
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions ...
Yanping Yi, Xiaohong Chen, Wei Biao Wu
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A copula model for dependent competing risks [PDF]
Many popular estimators for duration models require independent competing risks or independent censoring. In contrast, copula based estimators are also consistent in presence of dependent competing risks.
Ralf Wilke, Simon M. S. Lo
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