نتایج جستجو برای: copula theory

تعداد نتایج: 785193  

2006
CHRISTIAN GENEST

The tail behavior of sums of dependent risks was considered by Wüthrich (2003) and by Alink et al. (2004, 2005) in the case where the variables are exchangeable and connected through an Archimedean copula model. It is shown here how their result can be extended to a broader class of dependence structures using multivariate extreme-value theory. An explicit form is given for the asymptotic proba...

2005
PAUL C. KETTLER

The paper introduces the pyramid probability distribution through its density in two dimensions, and investigates its properties and those of its copula. The research focuses on ways in which the distribution demonstrates dependence between its variables, primarily as revealed by its copula and related functions. The distribution bears a close relationship to the normal distribution in that its...

2012
David Lopez-Paz José Miguel Hernández-Lobato Bernhard Schölkopf

A new framework based on the theory of copulas is proposed to address semisupervised domain adaptation problems. The presented method factorizes any multivariate density into a product of marginal distributions and bivariate copula functions. Therefore, changes in each of these factors can be detected and corrected to adapt a density model accross different learning domains. Importantly, we int...

2013
M. M. E. Abd El-Monsef

The copula function is a multivariate distribution whose marginal distributions are uniformly distributed on the interval [0,1], this function called copula that ties the joint and the margins together. One important class of copula models is that of semiparametric copula models. In this paper, a semiparametric copula and its properties are introduced also a test of symmetry for semiparametric ...

2009
Eddie K. H. Ng

Kernel-based Copula Processes Eddie K. H. Ng Doctor of Philosophy Graduate Department of Electrical & Computer Engineering University of Toronto 2010 The field of time-series analysis has made important contributions to a wide spectrum of applications such as tide-level studies in hydrology, natural resource prospecting in geo-statistics, speech recognition, weather forecasting, financial tradi...

2015
Klaus Reinhold Leif Engqvist Steven A. Ramm

http://dx.doi.org/10.1016/j.anbehav.2015.08.020 0003-3472/© 2015 The Association for the Study of A Recent developments in the study of mating behaviour have emphasized the importance of strategic investment of limited reproductive resources. However, in many cases it can be difficult to interpret traits such as copula duration, because they are interacting phenotypes that ultimately depend upo...

ژورنال: اندیشه آماری 2017
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‎Copula functions as a model can show the relationship between variables‎. ‎Appropriate copula function for a specific application is a function that shows the dependency between data in a best way‎. ‎Goodness of fit tests theoretically are the best way in selection of copula function‎. ‎Different ways of goodness of fit for copula exist‎. ‎In this paper we will examine the goodness of fit test...

Journal: :Entropy 2016
Jesús E. García Verónica Andrea González-López Roger B. Nelsen

A maximum entropy copula is the copula associated with the joint distribution, with prescribed marginal distributions on [0, 1], which maximizes the Tsallis–Havrda–Chavát entropy with q = 2. We find necessary and sufficient conditions for each maximum entropy copula to be a copula in the class introduced in Rodríguez-Lallena and Úbeda-Flores (2004), and we also show that each copula in that cla...

2011
Dong Hwan Oh Andrew J. Patton

This paper considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments ...

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