Wave-induced pressure gradients and local accelerations are important interconnected physical mechanisms involving several hydrodynamic morphodynamic coastal phenomena. Therefore, to provide a reliable realistic simulation, the dependencies among different parameters, such as water level, gradient, acceleration, sediment concentration, should be considered. Herein, copula-based simulation is pr...

The authors define a new semiparametric Archimedean copula family having a flexible dependence structure. The family’s generator is a local interpolation of existing generators. It has locally-defined dependence parameters. The authors present a penalized constrained least-squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a biva...

We study the conditions to identify the joint distribution of outcomes for the treated group in absence of any treatment, avoiding to make assumptions that allow to identify each counterfactual marginal distribution. Our starting point is Athey & Imbens (2006)’s Changes-In-Changes Model, but we generalize it letting the treatment also affect the distribution of unobservables even within each gr...

Knowledge of the dependence between random variables is necessary in area risk assessment and evaluation. Some existing Archimedean copulas, namely Clayton Gumbel allow for higher correlations on extreme left right, respectively. In this study, we use idea convex combinations to build a hybrid Clayton–Gumbel–Frank copula that provides all scenarios from copulas. The corresponding density condit...

Liouville copulas, which were introduced in [27], are asymmetric generalizations of the ubiquitous Archimedean copula class. They are the dependence structures of scale mixtures of Dirichlet distributions, also called Liouville distributions. In this paper, the limiting extreme-value copulas of Liouville copulas and of their survival counterparts are derived. The limiting max-stable models, ter...

Understanding and quantifying dependence is at the core of all modelling efforts in financial econometrics. The linear correlation coefficient, which is the far most used measure to test dependence in the financial community and also elsewhere, is only a measure of linear dependence. This means that it is a meaningful measure of dependence if asset returns are well represented by an elliptical ...

In this paper we present the algorithm that changes the subset of marginals of multivariate normal distributed data into such modelled by an Archimedean copula. Proposed algorithm leaves a correlation matrix almost unchanged, but introduces a higher order crosscorrelation measured by high order multivariate cumulant tensors. Given the algorithm, we analyse the ability of cumulants based feature...

Consider semi-competing risks data (two times to concurrent events are studied but only one of them is right-censored by the other one) where the link between the times Y and C to non-terminal and terminal events respectively, is modeled by a family of Archimedean copulas. Moreover, both Y and C are submitted to an independent right censoring variable D. A new methodology based on a maximum lik...