In recent years, copulas have become very popular in financial research and actuarial science as they are more flexible in modelling the co-movements and relationships of risk factors as compared to the conventional linear correlation coefficient by Pearson. However, a precise estimation of the copula parameters is vital in order to correctly capture the (possibly nonlinear) dependence structur...

Detecting outliers in the context of multivariate data is known as an important but difficult task and there already exist several detection methods. Most of the proposed methods are based either on the Mahalanobis distance of the observations to the center of the distribution or on a projection pursuit (PP) approach. In the present paper we focus on the one-dimensional PP approach which may be...

Multivariate chemical reaction optimization involving catalytic systems is a non-trivial task due to the high number of tuneable parameters and discrete choices.

Assigning a set of objects to groups such that objects in one group or cluster are more similar to each other than the other clusters’ objects is the main task of clustering analysis. SSPCO optimization algorithm is anew optimization algorithm that is inspired by the behavior of a type of bird called see-see partridge. One of the things that smart algorithms are applied to solve is the problem ...

We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) with multivariate normal tempered stable (MNTS) distributed residuals used to capture the non-Gaussian cryptocurrency return dynamics. Based on model, we optimize in terms Foster-Hart risk. Those sophisticated techniques are not yet documen...

Abstract Due to the advent of 5G and integration sensors, sensor nodes need collect data from multiple sources simultaneously.Traditional anomaly detection methods for single attribute time series detect multivariate data, low accuracy, significant node energy consumption. To avoid these problems, this paper provides an improved FCM clustering method based on sliding window. Based CPSO optimal ...