Multivariate Drought Frequency Analysis using Four-Variate Symmetric and Asymmetric Archimedean Copula Functions

Comments on: Inference in multivariate Archimedean copula models

Multivariate Archimedean Copulas, d-monotone Functions and l1-norm Symmetric Distributions

It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a d-dimensional copula is that the generator is a d-monotone function. The class of d-dimensional Archimedean copulas is shown to coincide with the class of survival copulas of d-dimensional l1-norm symmetric distributions that place no point mass at the origin. The d-monotone Archimedean copul...

the probabilistic analysis of drought severity–duration in tehran province using copula functions

to analyze and manage the risk of drought in a region, access to some certain information is required, the most important of which is the frequency of drought severity-duration. realizing the high correlation of these factors, one must pick up a method that pinpoint the relation and effects of these factors on drought analysis. in this paper, numerous copula families were employed to model the ...

Minimum-latency Time-frequency Analysis Using Asymmetric Window Functions

We study the real-time dynamics retrieval from a time series via the time-frequency (TF) analysis with the minimal latency guarantee. While different from the well-known intrinsic latency definition in the filter design, a rigorous definition of intrinsic latency for different time-frequency representations (TFR) is provided, including the short time Fourier transform (STFT), synchrosqeezing tr...

On an asymmetric extension of multivariate Archimedean copulas

Archimedean copulas are copulas determined by a specific real function, called the generator. Composited with the copula at a given point, this generator can be expressed as a linear form of generators of the considered point components. In this paper, we discuss the case where this function is expressed as a quadratic form (called here multivariate Archimatrix copulas). This allows extending A...