Abstract This paper focuses on the parameter estimation for d -variate Farlie–Gumbel–Morgenstern (FGM) copula ( $$d\ge 2$$ d ≥ 2 ), which has $$2^d-d-1$$ - 1 dependence parameters to be estimated;...

Este trabalho tem como objetivo propor uma modelagem em séries temporais para estimativa da precipitação máxima diária um município do interior de Pernambuco. Objetiva-se, ainda, estimar a região nos tempos retorno 2, 5, 10, 50, 100 e 1000 anos. O foi desenvolvido no São Bento Una (Pernambuco, Brasil). Para as modelagens, foram utilizados dados pluviométricos extraídos plataforma Instituto Mete...

Description The package implements the statistical theory of L-moments including L-moment estimation, probability-weighted moment estimation, parameter estimation for numerous familiar and not-so-familiar distributions, and L-moment estimation for the same distributions from the parameters. L-moments are derived from the expectations of order statistics and are linear with respect to the probab...

In this paper we study the extremal behavior of a stationary continuoustime moving average process Y (t) = ∫∞ −∞ f(t−s) dL(s) for t ∈ R, where f is a deterministic function and L is a Lévy process whose increments, represented by L(1), are subexponential and in the maximum domain of attraction of the Gumbel distribution. We give necessary and sufficient conditions for Y to be a stationary, infi...

Copulas offer economic agents facing uncertainty a powerful and flexible tool to model dependence between random variables and are preferable to the traditional, correlation-based approach. In this paper we show how standard tests for the fit of a distribution can be extended to copulas. Because they can be applied to any copula and because they are based on a direct comparison of a given copul...

New estimators based on the likelihood depth for the examples of 2-dimensional, one-parametric Gumbel-Copula (and 2-dimensional Gauss-distribution) and in a second step for the Weibulldistribution are presented. The copula model has a variety of applications because it models dependence structures, e.g. in finance, in the analysis of credit risks. Copulas can also be used in the simulation of t...

The score statistics of a recently introduced 'hybrid alignment' algorithm is studied in detail numerically. An extensive survey across the 2216 models of protein domains contained in the Pfam v5.4 database (Bateman et al., Nucleic Acids Res., 28, 263-266, 2000) verifies the theoretical predictions: For the position-specific scoring functions used in the Pfam models, the score statistics of hyb...