Theoretical Study of Some Angle Parameter Trigonometric Copulas

Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance

The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting. The estimation of the dependence parameter has been selected as the value that minimizes the Cramér-von-Mises distance which measures the distance between Empirical Bernstein Kendall distribution function and true Kendall distribution functi...

the study of practical and theoretical foundation of credit risk and its coverage

پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...

Some aspects of Levy copulas

Some Divergent Trigonometric Integrals

1. Introduction. Browsing through an integral table on a dull Sunday afternoon some time ago, I came across four divergent trigonometric inte-grals. (See (1) and (2) below.) I was intrigued as to how these divergent integrals ended up in a respectable table. Tracing their history, it turned out they were originally " evaluated " when some convergent integrals, (5) and (6), were differentiated u...

Some aspects of Lévy copulas

Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lévy measure. In order to describe the dependence structure of a multivariate Lévy measure, Tankov (2003) introduced positive Lévy copulas. Together with the marginal Lévy measures they completely describe multivariate Lévy measures on R+ . In this paper, we show that any such Lévy copula defines it...