this study presents a new method for interpolation by use of copula for groundwater quality zoning. in this regard, the data of the concentration of bicarbonate in 87 piezometric wells on the plains of kerman and ravar in september 2013 were examined. for this purpose, four archimedean copula including clayton, frank, gumbel and joe have been used. then, the obtained results were compared to th...

We examine the dependence structure of electricity spot prices across regional markets in the Australian National Electricity Market (NEM). Our analysis is based on a GARCH approach to model the marginal price series in the considered regions in combination with copulae to capture the dependence structure between the different markets. We apply different copula models including Archimedean, ell...

This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes X , to compare the dependence of X given X > t, and X given X > s, where s > t. More precisely, analytical results will be obtained in the case the survival copula of X is either Archimedean or a distorted copula. The case of a frailty based mode...

A new multivariate Archimedean copula estimation method is proposed in a non-parametric setting. The method uses the so called Geometrically Designed splines (GeD splines), recently introduced by Kaishev et al. (2006 a,b) [10] and [11], to represent the cdf of a random variable Wθ, obtained through the probability integral transform of an Archimedean copula with parameter θ. Sufficient conditio...

In this paper, we consider different issues related to Archimedean copulae and positive dependence. In the first part, we characterize Archimedean copulae that possess positive dependence properties such as multivariate total positivity of order 2 ðMTP2Þ and conditionally increasingness in sequence. In the second part, we investigate conditions for exchangeable binary sequences to admit an Arch...

The univariate conditioning of copulas is studied, yielding a construction method for copulas based on an a priori given copula. Based on the gluing method, g-ordinal sum of copulas is introduced and a representation of copulas by means of g-ordinal sums is given. Though different right conditionings commute, this is not the case of right and left conditioning, with a special exception of Archi...

In this paper, we compare the lifetimes of two series and two parallel systems stochastically where the lifetime of each component follows location-scale (LS) family of distributions. The comparison is carried out under two scenarios: one, that the components of the systems have a dependent structure sharing Archimedean copula and two, that the components are independently distributed. It is sh...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based on correlation for measuring the structure of dependency. Using a copula approach, we can model the di...

Besides their advantage in modelling tail-dependency, the main drawback of standard non-Gaussian copula is the homogeneity in the tail dependency parameter. Several approaches to solve this are meanwhile developed, hierachical copula, the grouped t-copula and the heterogeneous t-copula as recently described by Luo and Shevchenko [1]. We will show results from a concrete implementation of a fact...