This paper proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also more recent wild segmentation (WBS) is considered. For consistency of estimators for location breakpoints as well number proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based...

Knowledge of the dependence between random variables is necessary in area risk assessment and evaluation. Some existing Archimedean copulas, namely Clayton Gumbel allow for higher correlations on extreme left right, respectively. In this study, we use idea convex combinations to build a hybrid Clayton–Gumbel–Frank copula that provides all scenarios from copulas. The corresponding density condit...

Manufacturing for a multitude of continuous processing applications in the era automation and ‘Industry 4.0? is focused on rapid throughput while producing products acceptable quality that meet customer specifications. Monitoring stability or statistical control key process parameters using data acquired from online sensors fundamental to successful manufacturing applications. This study addres...

In designing coastal and nearshore structures, the joint probability of wave heights storm surges is essential in determining possible highest total water level. The key elements to accurately estimate are appropriate sampling extreme values selection functions for analysis. This study provide a full assessment performance different methods employed bivariate height surge samples analysed using...

A new G family of probability distributions called the type I quasi Lambert is defined and applied for modeling real lifetime data. Some bivariate families using "Farlie-Gumbel-Morgenstern copula", "modified Farlie-Gumbel-Morgenstern "Clayton copula" "Renyi's entropy are derived. Three characterizations presented. its statistical properties derived studied. The maximum likelihood estimation, pr...

Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative which can take an explicit account of distribution of firms’ production activities. In this paper we propose a new idea referred to as production copula; a copul...

The use of copula analysis to estimate the lifetime of bonds is gaining popularity in the financial sector. Taking this concept a step further, the following research project explores the use of the copula method in estimating the joint occurrence of bond default as a method of predictive analysis of bond lifetime. This is accomplished by means of an indepth discussion on copulas followed by a ...

We use a semiparametric GARCH-in-Mean copula model to examine the price evolution and volatility dynamics of crude oil, natural gas, hydrocarbon gas liquids markets using data from January 2002 December 2021. find that uncertainty has positive statistically significant effect on returns oil but negative ethane returns. also Frank is best describe (bivariate) dependence structures between market...

This paper deals with the impact of structure of dependency and the choice of procedures for rareevent simulation on the pricing of multi-name credit derivatives such as n to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based simulation procedure for pricing baske...

background: in survival studies when the event times are dependent, performing of the analysis by using of methods based on independent assumption, leads to biased. in this paper, using copula function and considering the dependence structure between the event times, a parametric joint distribution has made fitting to the events, and the effective factors on each of these events would be determ...