In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a ’correlation-like’ structure remains but different margins and non-existenc...

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 ...

Estimating the probability of extreme temperature events is difficult because of limited records across time and the need to extrapolate the distributions of these events, as opposed to just the mean, to locations where observations are not available. Another related issue is the need to characterize the uncertainty in the estimated probability of extreme events at different locations. Although...

With clustered event time data, interest most often lies in marginal features such as quantiles or probabilities from the marginal event time distribution or covariate effects on marginal hazard functions. Copula models offer a convenient framework for modeling. We present methods of estimating the baseline marginal distributions, covariate effects, and association parameters for clustered curr...

A copula models the relationships between variables independently of their marginal distributions. When the variables are time series, the copula may change over time. A statistical framework is suggested for tracking these changes over time. When the marginal distributions change, pre-…ltering is necessary before constructing the indicator variables on which the tracking of the copula is based...

Copulas. We study the model risk of multivariate models in a comprehensive empirical on Copula-GARCH used for forecasting Value-at-Risk and Expected Shortfall. To determine whether inherent portfolio is caused by candidate marginal or copula models, we analyze different groups which fix either marginals, copula, neither. Model economically significant, especially high during periods crisis, alm...

This paper considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments ...

Statistical process control is an important and convenient tool to stabilize the quality of manufactured goods and service operations. The traditional Shewhart control chart has been used extensively for process control, which is valid under the independence assumption of consecutive observations. In real world applications, there are many types of dependent observations in which the traditiona...

Estimating the probability of extreme temperature events is difficult because of limited records across time and the need to extrapolate the distributions of these events, as opposed to just the mean, to locations where observations are not available. Another related issue is the need to characterize the uncertainty in the estimated probability of extreme events at different locations. Although...