This paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms order statistics. Several properties this are established. In particular, the Kendall’s tau Spearman’s rho, as well density function, suggested derived. lower upper tail dependence also parameter estimator new examined based on maximum likelihood procedure. A simulation s...

One main complexity of the copula constructions concerns a mismatch between morphology and syntactic constituency: the copula seems to form a morphological unit with the immediately preceding element, whereas in terms of syntax the copula appears to take this as its syntactic complement. In capturing such mismatches, we show that the copula is treated as an independent verb at the level of tect...

Many highly reliable products have two or more performance characteristics (PCs). The PCs may be independent or dependent each other. If they are dependent, it is very important to find the joint distribution function of the PCs. In this paper, suppose that a product has two PCs and the PCs degradation can be governed by Gamma process. And the dependence of the PCs can be described by copula fu...

In this paper, we address two important issues in semiparametric survival model selection for censored data generated by the Archimedean copula family: method of estimating the parametric copulas and data reuse. We demonstrate that for selection among candidate copula models that could all be misspecified, estimators of the parametric copulas based on minimizing the selection criterion function...

A copula is a means of generating an n-variate distribution function from an arbitrary set of n univariate distributions. For the class of portfolio allocators that are risk averse, we use the copula approach to identify a large set of n-variate asset return distributions such that the relative magnitudes of portfolio shares can be ordered according to the reversed hazard rate ordering of the n...

  In this paper, we propose a nonparametric rank-based alternative to the least-squares independent component analysis algorithm developed. The basic idea is to estimate the squared-loss mutual information, which used as the objective function of the algorithm, based on its copula density version. Therefore, no marginal densities have to be estimated. We provide empirical evaluation of th...

This paper develops the first comprehensive LFG analysis of the five most important types of copula constructions in Hungarian. I basically adopt Dalrymple et al.’s (2004) programmatic view, which admits diversity both in c-structure and in f-structure across and within languages, and which postulates that the “postcopular” constituent can be the functional cohead of the copula, in which case t...

We derive a consistent way to price multiname credit derivatives. The methodology proposed is based on copulas function to model the joint distribution of default times. The copula correlation coefficient are provided from the structural model.

Copula analysis was created to explain the dependence of two or more quantitative variables. Due need for in-depth data involving complex variable relationships, there is always a new copula models with original features. As modern example, circular periodic types, trigonometric copulas are particularly attractive and recommended. This is, however, an underexploited topic. In this article, we p...