نتایج جستجو برای: copula based models
تعداد نتایج: 3551028 فیلتر نتایج به سال:
stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future environment developments. In the present paper, the scenario model is developed for the case when enough data paths can be generated, but due to solvability of stochastic program the scenario tree has to be constructed. The propos...
We develop multivariate copulas for modeling multiple joint distributions of wind speeds at a wind farm site and neighboring wind source. A ndimensional Gaussian copula and multiple copula graphical models enhance the quality of the prediction site distribution. The models, in comparison to multiple regression, achieve higher accuracy and lower cost because they require less sensing data.
Recently an efficient fixed point algorithm for finding maximum likelihood estimates has found its application in models based on Gaussian copulas. It requires a decomposition of a likelihood function into two parts and their iterative maximization. Therefore, this algorithm is called maximization by parts (MBP). For copula-based models, the algorithm MBP improves the efficiency of a two-step e...
In this paper, we provide two one-factor heavy-tailed copula models for pricing a collateralized debt obligation and credit default index swap tranches: (1) a one-factor double t distribution with fractional degrees of freedom copula model and (2) a one-factor double mixture distribution of t and Gaussian distribution copula model. A tail-fatness parameter is introduced in each model, allowing ...
this study presents a new method for interpolation by use of copula for groundwater quality zoning. in this regard, the data of the concentration of bicarbonate in 87 piezometric wells on the plains of kerman and ravar in september 2013 were examined. for this purpose, four archimedean copula including clayton, frank, gumbel and joe have been used. then, the obtained results were compared to th...
This paper aims to propose a procedure for modeling the joint probability distribution of bivariate uncertain data with a nonlinear dependence structure. First, the concept of dependence measures is briefly introduced. Then, both the Akaike Information Criterion and the Bayesian Information Criterion are adopted for identifying the best-fit copula. Thereafter, simulation of copulas and bivariat...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید