bivariate copula
Youth access to ICT resources and subjective well-being in the Middle East: A Spatial bivariate copula regression analysis
... spatial bivariate copula regression modelling of youth access to ICT resources and subjective well-being, where we controlled for not only cross-country spatial correlations, but also factors such as home ...
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On the construction of minimum information bivariate copula families
... information copula is that copula which has minimum information (Kullback-Leibler diver- gence) from the uniform ...dependent” copula satisfying the ...the copula density formula. ...
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Bivariate copula additive models for location, scale and shape
... of copula we start off with the ...a copula model in which all variables (time, oil, gas and coal prices) enter the five equations (two equations for the location parameters, two for the scale parameters ...
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A Generalized Bivariate Copula for Flood Analysis in Peninsular Malaysia
... Archimedean Copula family comes with a large variety of copulas, but they can be constructed ...rainfall bivariate analysis, only the Frank Copula had been proven to be more proper for the analysis ...
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Bivariate Kumaraswamy models via modified symmetric FGM copulas: Properties and Applications in Insurance modeling
... known bivariate distribution ...simulate/generate bivariate random samples from a bivariate ...type copula as follows. Let us define, the conditional copula distribution function, (say, ...
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Vine copula approximation : a generic method for coping with conditional dependence
... conditional bivariate copula does not change with the con- ditioning variables (Acar et ...conditional bivariate copulas by tensor product of a family of basis ...
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Vine Copula Approximation: A Generic Method for Coping with Conditional Dependence
... conditional bivariate copula does not change with the con- ditioning variables (Acar et ...conditional bivariate copulas by tensor product of a family of basis ...
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Precipitation runoff relationship variation of water resources changes
... and bivariate Copula function, we analyzed variations of precipitation and runoff in WRB, and the joint distribution function of precipitation and runoff, by comparing the differences in different periods ...
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Statistical Modeling of Insurance Data via Vine Copula
... Abstract: Copulas are useful tools for modeling the dependence structure between two or more variables. Copulas are becoming a quite flexible tool in modeling dependence among the components of a multivariate vector, in ...
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An Exploration of the Spatial Dependence Structure of Crop Yields and the Implications for Crop Insurance
... Systemic risk, in regard to agricultural production, refers to the spatial dependence of crop yields stemming from correlated weather, soil patterns, and other geographically related factors. Systemic risk has been named ...
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Explanation of the Most Powerful Copulas and the Proves of Some of Their Properties
... a bivariate copula, and even a multivariate ...Marshall-Olkin bivariate exponential distribution, and circular uniform distribution, for more detail, see ...each copula, and explain the steps ...
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Overnight News and Daily Equity Trading Risk Limits
... proposed bivariate model are clearly superior to those from the ‘bundled’ ...the bivariate w/o covariance model has superior predictive ability over the bundling model, which produce 0% rejection rates ...
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On bivariate geometric distribution
... of bivariate geometric distribu- tion using geometric ...new bivariate geometric distri- butions using the geometric sums of independently and identically distributed random ...These bivariate ...
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Study the impact of smile and tail dependence on the prices of European style bivariate equity and interest rate derivatives using Copulas and UVDD model
... In this report we start by broadly dividing the pricing process into four cases, presented in Figure 7.1. The various cases broadly differ on inclusion of two properties: smile of the underlying and tail dependence ...
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The calculation of Solvency Capital Requirement using Copulas
... C(u, v) = φ [−1] (φ(u) + φ(v)). (13) The function obtained in this way takes the name of “Archimedean copulas”. Of notable importance is the pa- rameter θ (we will show how to estimate this parameter in the next section) ...
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On Suitable Copula Selection with Copula Garch Method
... a copula function is such a multivariate distribution, it is the perfect tool to do ...A copula can be considered to represent the dependence structure in a distribution, and if fitting, the dependence ...
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bicop: A command for fitting bivariate ordinal regressions with residual dependence characterized by a copula function and normal mixture marginals
... these copula functions, bicop produces a Wald test ...Joe copula, repeat estimation while imposing independence by specifying the copula c = uv, and then construct the usual statistic of minus twice ...
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The utilization of copula in hidrology
... In this paper the parameters of the generalized Pareto cumulative distribution functions of the marginals and the parameter θ of the connecting copula for the water maximum discharges and water volumes are ...
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The Cambanis family of bivariate distributions: Properties and applications
... a model in all situations where the Farlie-Gumbel-Morgenstern family is applied. The present work is organized into four sections. In section 2, we enumerate the distributional characteristics. This is followed by the ...
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Risk Assessment Model with Integrated-Information of Copula and Choquet Fuzzy Integral.
... summary, copula is based on an unbiased view and has strength in restricting risks through proper analysis of their joint ...judgments, copula can ensure rationality in the integrated information ...
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