نتایج جستجو برای: four archimedean copula including clayton

تعداد نتایج: 1522713  

Journal: :Statistics, Optimization and Information Computing 2021

A new family of distributions called the Kumaraswamy Rayleigh is defied and studied. Some its relevant statistical properties are derived. Many bivariate type G families using Farlie-Gumbel-Morgenstern, modified Farlie-Gumbel-Morgenstern copula, Clayton copula Renyi’s entropy The method maximum likelihood estimation used. special models based on log-logistic, exponential, Weibull, Rayleigh, Par...

Journal: :J. Multivariate Analysis 2010
Alexander J. McNeil Johanna Neslehová

We use a recent characterization of the d-dimensional Archimedean copulas as the survival copulas of d-dimensional simplex distributions (McNeil and Nešlehová (2009)) to construct new Archimedean copula families, and to examine the relationship between their dependence properties and the radial parts of the corresponding simplex distributions. In particular, a new formula for Kendall’s tau is d...

Journal: :Pakistan Journal of Statistics and Operation Research 2022

Probability distributions and their families play an effective role in statistical modeling analysis. Recently, researchers have been increasingly interested generating new with high flexibility low number of milestones. We propose study a family continuous distributions. Relevant properties are presented. Many bivariate versions the derived under Farlie-Gumbel-Morgenstern copula, modified Clay...

Journal: :Journal of the Institute of Science and Technology 2017

Journal: :Journal of Business & Economic Statistics 2023

This paper proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also more recent wild segmentation (WBS) is considered. For consistency of estimators for location breakpoints as well number proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based...

2016
Marie-Pier Côté Christian Genest Anas Abdallah

In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss triangle data relating to each of their lines of business. As an inadequate choice of dependence structure may have an undesirable effect on reserve estimation, a two-stage inference strategy is proposed in this paper to assist with model sele...

Journal: :J. Multivariate Analysis 2013
Haijun Li Peiling Wu

The extremal dependence of a random vector describes the tail behaviors of joint probabilities of the random vector with respect to that of its margins, and has been often studied by using the tail dependence function of its copula. A tail density approach is introduced in this paper to analyze extremal dependence of the copulas that are specified only by densities. The relation between the cop...

Journal: :Pakistan Journal of Statistics and Operation Research 2021

A new four-parameter lifetime model is introduced and studied. The derives its flexibility wide applicability from the well-known exponentiated Weibull model. Many bivariate multivariate type versions are derived using Morgenstern family Clayton copula. density can exhibit many important shapes with different skewness kurtosis which be unimodal bimodal. hazard rate decreasing, J-shape, U-shape,...

Journal: :bulletin of the iranian mathematical society 2015
m. rezapour m. h. alamatsaz

in the literature of life-testing, general progressive censoring has been studied extensively. but, all the results have been developed under the key assumption that the units undertest are independently distributed. in this paper, we study general progressively type-ii censored order statistics arising from identical units under test which are jointly distributed according to an archimedean co...

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