搜索结果: 1-15 共查到“Copulas”相关记录25条 . 查询时间(0.046 秒)
Shuffle of min’s random variable approximations of bivariate copulas’realization
Copula Shuffle of Min approximation Narrow bounds of copula
2016/1/26
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
Shuffle of min’s random variable approximations of bivariate copulas’realization
random variable approximations bivariate copulas realization
2016/1/20
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
Jackknife Empirical Likelihood for Parametric Copulas
Copulas Empirical likelihood Interval estimation Jackknife
2016/1/19
For fitting a parametric copula to multivariate data, a popular way is to employ the so-called pseudo maximum likelihood estimation proposed by Genest, Ghoudi and Rivest (1995). Although interval esti...
Approximation of bivariate copulas by patched bivariate Fréchet copulas
Bivariate Fréchet copulas patched bivariate Fréchet copula approximation of bivariate copulas
2016/1/19
Bivariate Fréchet (BF) copulas characterize dependence as a mixture of three simple structures: comonotonicity, in-dependence and countermonotonicity. They are easily interpretable but have limitation...
Vine Constructions of Levy Copulas
Levy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/19
Levy copulas are the most natural concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A ...
Vine Constructions of Levy Copulas
Lévy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/14
Lévy copulas are the most natural concept to capture jump dependence in multivariatem Lévy processes. They translate the intuition and many features of the copula concept into a time series setting. A...
Estimators for Archimedean copulas in high dimensions: A comparison
Archimedean copulas parameter estimation Kendall’s tau Blomqvist’s beta minimum distance estimators (diagonal/simulated) maximum-likelihood estimation.
2012/9/19
The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions. In particular,method-of-moments-like estimators based on pairwis...
Nonparametric inference on Levy measures and copulas
Copula Levy copula Levy measure Levy process nonparametric statistics Pareto Levy copula weak convergence
2012/5/25
In this paper nonparametric methods to assess the multivariate L\'evy measure are introduced. Starting from high-frequency observations of a L\'evy process X, we construct estimators for its tail inte...
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...
Shuffles of copulas and a new measure of dependence
copulas shuffles of Min measure-preserving, Sobolev norm
2012/4/18
Using a characterization of Mutual Complete Dependence copulas, we show that, with respect to the Sobolev norm, the MCD copulas can be approximated arbitrarily closed by shuffles of Min. This result i...
基于Copulas加速寿命试验中竞争失效模型的统计分析
Copulas 加速寿命试验 竞争失效模型 统计分析
2012/4/9
在已有讨论竞争失效数据统计分析的文献中,大多数都假设失效机理之间相互独立.本文使用copula作为连接函数来考查加速寿命试验中的竞争失效模型.通过模拟,把失效机理相关时得到的结果与失效机理独立时得到的结果做了比较.最后分析了文献中的一个实际数据.
Nonparametric estimation of multivariate extreme-value copulas
empirical copula extreme-value copula Pickands dependence function
2011/7/19
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a funct...
Large-sample tests of extreme-value dependence for multivariate copulas
max-stability multiplier central limit theorem pseudo-observations ranks
2011/6/17
Starting from the characterization of extreme-value copulas based on maxstability,
large-sample tests of extreme-value dependence for multivariate copulas
are studied. The two key ingredients of the...
Vine copulas as a mean for the construction of high dimensional probability distribution associated to a Markov Network
Copula decomposition t-cherry junction tree Markov network Cherry-wine probability distribution Graphical models
2011/6/17
Building higher-dimensional copulas is generally recognized as a difficult
problem. Regular-vines using bivariate copulas provide a flexible class of high-dimensional
dependency models. In large dim...
A goodness-of-fit test for bivariate extreme-value copulas
extreme-value copula goodness of fi t parametric bootstrap Pickands dependence function rank-based inference
2011/3/21
It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands depe...