Zobrazeno 1 - 10
of 188
pro vyhledávání: '"Extreme-value copula"'
Autor:
Ansari Jonathan, Rockel Marcus
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 1-15 (2024)
Motivated by recently investigated results on dependence measures and robust risk models, this article provides an overview of dependence properties of many well known bivariate copula families, where the focus is on the Schur order for conditional d
Externí odkaz:
https://doaj.org/article/db148057288649378b48d719f3fa8f7b
Autor:
Mai Jan-Frederik
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 29-46 (2024)
We derive lower and upper bounds for the survival function of an exchangeable sequence of random variables, for which the scaled minimum of each finite subgroup has a univariate exponential distribution. These bounds are sharp in the sense that both
Externí odkaz:
https://doaj.org/article/89be13b6b3404641af6c34ab8a0cca8b
Publikováno v:
JTAM (Jurnal Teori dan Aplikasi Matematika), Vol 7, Iss 3, Pp 805-819 (2023)
Quantifying dependence among variables is the core of all modelling efforts in financial models. In the recent years, copula was introduced to model the dependence structure among financial assets return, and its application developed fast. A large n
Externí odkaz:
https://doaj.org/article/775d9613aa0143f6bf89f4fe52ce7f41
Autor:
Mai Jan-Frederik
Publikováno v:
Dependence Modeling, Vol 10, Iss 1, Pp 29-47 (2022)
We provide an exact simulation algorithm for bivariate Archimax copulas, including instances with negative association. In contrast to existing simulation approaches, the feasibility of our algorithm is directly linked to the availability of an exact
Externí odkaz:
https://doaj.org/article/3d1a0c62532c461eb397d8a7e3b9b93e
Akademický článek
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Publikováno v:
Risks, Vol 11, Iss 8, p 143 (2023)
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three m
Externí odkaz:
https://doaj.org/article/bcdbb496c8814326a23b56a43443f9b7
Autor:
Krupskii, Pavel, Genton, Marc G.
Publikováno v:
Scandinavian Journal of Statistics, 2018 Dec 01. 45(4), 861-878.
Externí odkaz:
https://www.jstor.org/stable/26593436
Akademický článek
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Publikováno v:
Volume: 51, Issue: 6 1723-1735
Hacettepe Journal of Mathematics and Statistics
Hacettepe Journal of Mathematics and Statistics
In the present study, Bayesian method of estimating the Pickands dependence function of bivariate extreme-value copulas is proposed. Initially, cubic B-spline regression is used to model the dependence function. Then, the estimator of Pickands depend
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83f698111fb4f3d184bc5b2b0c00daca
https://doi.org/10.15672/hujms.682730
https://doi.org/10.15672/hujms.682730