نتایج جستجو برای: four archimedean copula including clayton
تعداد نتایج: 1522713 فیلتر نتایج به سال:
With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...
Estimation of Distribution Algorithms (EDAs) are implemented mainly by the three steps: selecting the promising subset from the current population, modeling the distribution of the selected population and sampling from the estimated model. Modeling and sampling are key steps of EDAs. They are also research topic of copula theory to represent the multivariate joint distribution by a copula and t...
Manufacturing for a multitude of continuous processing applications in the era automation and ‘Industry 4.0? is focused on rapid throughput while producing products acceptable quality that meet customer specifications. Monitoring stability or statistical control key process parameters using data acquired from online sensors fundamental to successful manufacturing applications. This study addres...
We apply a copula-GARCH approach to modeling the joint distribution of excess returns of four major assets: one year and ten year Treasury bonds and S&P 500 and Nasdaq indices. We try three approaches in building the multidimensional copula for the dependence structure of multiple variables: (1) n-dimensional normal copula and n-dimensional Students t copula, (2) hierarchical Archimedean copul...
The risk of a child dying before completing five years of age is still highest in sub-Saharan Africa region. In this paper, we used the copula based dependence to investigate the association between the under-five mortality rate and Gross Domestic Product in Rwanda from 1981 to 2015. The copula has for a long time been recognized as a powerful tool for modeling dependence between two random var...
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...
In order to study copula families that have different tail patterns and tail asymmetry than multivariate Gaussian and t copulas, we introduce the concepts of tail order and tail order functions. These provide an integrated way to study both tail dependence and intermediate tail dependence. Some fundamental properties of tail order and tail order functions are obtained. For the multivariate Arch...
We review models for construction of higher-dimensional dependence that have arisen recent years. A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be modelled using a cascade of lower-dimensional copulae. We examine two such models that differ in their construction of the dependency structure, namely the nested Archimedean constructions and t...
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed. r 2007 Elsevier B.V. All rights reserved.
Copulas are statistical tools for modelling the multivariate structure between variables in a distribution free way. They are beginning to be used in financial literature as an alternative to the multivariate normal. After reviewing the main properties of bivariate and multivariate copulas, three multivariate families are presented: the classical multivariate normal, the Fairlie-Gumbel-Morganst...
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