Zobrazeno 1 - 10
of 2 770
pro vyhledávání: '"Normal copula"'
Autor:
Chattopadhyay, Subhajit
Use of copula for the purpose of modeling dependence has been receiving considerable attention in recent times. On the other hand, search for multivariate copulas with desirable dependence properties also is an important area of research. When fittin
Externí odkaz:
http://arxiv.org/abs/2404.03420
Autor:
Yoshiba, Toshinao1,2 (AUTHOR) skato@ism.ac.jp, Koike, Takaaki3 (AUTHOR) takaaki.koike@r.hit-u.ac.jp, Kato, Shogo2 (AUTHOR)
Publikováno v:
Symmetry (20738994). Jul2023, Vol. 15 Issue 7, p1410. 18p.
The composite likelihood (CL) is amongst the computational methods used for the estimation of high-dimensional multivariate normal (MVN) copula models with discrete responses. Its computational advantage, as a surrogate likelihood method, is that is
Externí odkaz:
http://arxiv.org/abs/2203.04619
Autor:
Krikštolaitis, Ričardas1 (AUTHOR) ricardas.krikstolaitis@vdu.lt, Mozgeris, Gintautas2 (AUTHOR) gintautas.mozgeris@vdu.lt, Petrauskas, Edmundas2 (AUTHOR) edmundas.petrauskas@vdu.lt, Rupšys, Petras1,2 (AUTHOR) petras.rupsys@vdu.lt
Publikováno v:
Axioms (2075-1680). May2023, Vol. 12 Issue 5, p457. 19p.
Publikováno v:
In Computational Statistics and Data Analysis March 2023 179
Publikováno v:
Symmetry, Vol 15, Iss 7, p 1410 (2023)
Asymmetry in the upper and lower tails is an important feature in modeling bivariate distributions. This article focuses on the log ratio between the tail probabilities at upper and lower corners as a measure of tail asymmetry. Asymptotic behavior of
Externí odkaz:
https://doaj.org/article/eb5030a887c34b86979cd2d31bfe0ce9
Publikováno v:
Axioms, Vol 12, Iss 5, p 457 (2023)
Stochastic differential equations and Copula theories are important topics that have many advantages for applications in almost every discipline. Many studies in forestry collect longitudinal, multi-dimensional, and discrete data for which the amount
Externí odkaz:
https://doaj.org/article/4b31bc0bed3d424bb883a0fb8ab4eecd
Publikováno v:
Statistica Neerlandica, 70, 396-413, 2016
This paper presents a method for fitting a copula-driven generalized linear mixed models. For added flexibility, the skew-normal copula is adopted for fitting. The correlation matrix of the skew-normal copula is used to capture the dependence structu
Externí odkaz:
http://arxiv.org/abs/1707.09565
Autor:
Wellner, Jon A.
Publikováno v:
Bernoulli, 1997 Mar 01. 3(1), 55-77.
Externí odkaz:
https://www.jstor.org/stable/3318652
Normal copula with a correlation coefficient between $-1$ and $1$ is tail independent and so it severely underestimates extreme probabilities. By letting the correlation coefficient in a normal copula depend on the sample size, H\"usler and Reiss (19
Externí odkaz:
http://arxiv.org/abs/1505.03762