Fuzzy empirical copula for estimating data dependence structure
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Fuzzy Systems"
DOI: 10.1007/978-3-662-53692-6_6
Abstract: Empirical copula is a non-parametric algorithm to estimate the dependence structure of high-dimensional arbitrarily distributed data. The computation of empirical copula is, however, very costly so that it cannot be implemented into applications at a… read more here.
Keywords: empirical copula; copula; fuzzy empirical; dependence structure ... See more keywords
How to apply the dependence structure analysis to extreme temperature and precipitation for disaster risk assessment
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DOI: 10.1007/s00704-017-2187-5
Abstract: IPCC reports that a changing climate can affect the frequency and the intensity of extreme events. However, the extremes appear in the tail of the probability distribution. In order to know the relationship between extreme… read more here.
Keywords: dependence structure; temperature precipitation; dependence;
Copula-based modeling of dependence structure in geodesy and GNSS applications: case study for zenith tropospheric delay in complex terrain
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DOI: 10.1007/s10291-020-01044-4
Abstract: Modeling and understanding the statistical relationships between geophysical quantities is a crucial prerequisite for many geodetic applications. While these relationships can depend on multiple variables and their interactions, commonly used scalar methods like the (cross)… read more here.
Keywords: zenith tropospheric; statistical relationships; dependence structure; complex terrain ... See more keywords
Extraction dependence structure of distorted copulas via a measure of dependence
Sign Up to like & getrecommendations! Published in 2017 at "Annals of Operations Research"
DOI: 10.1007/s10479-017-2487-2
Abstract: Copulas are one of the most powerful tools in modeling dependence structure of multivariate variables. In Tran et al. (Integrated uncertainty in knowledge modelling and decision making. Springer, Berlin, pp 126–137, 2015), we have constructed… read more here.
Keywords: dependence; measure; structure distorted; dependence structure ... See more keywords
Assessment of uncertainty in environmental contours due to parametric uncertainty in models of the dependence structure between metocean variables
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DOI: 10.1016/j.apor.2017.02.006
Abstract: Abstract A key factor for computing environmental contours is the appropriate modeling of the dependence structure among the environmental variables. It is known that all the information on the dependence structure of a set of… read more here.
Keywords: uncertainty; parametric uncertainty; uncertainty environmental; dependence structure ... See more keywords
The role of copulas in random fields: Characterization and application
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DOI: 10.1016/j.strusafe.2018.05.006
Abstract: Abstract The spatial fluctuation of material properties is commonly modeled using random fields. However, descriptions of random fields in terms of marginal distributions and correlation structure are actually incomplete. The copulas that specify the dependence… read more here.
Keywords: dependence structure; random fields; gaussian dependence; dependence ... See more keywords
Regional and copula estimation effects on EU and US energy equity portfolios
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DOI: 10.1080/00036846.2020.1763244
Abstract: ABSTRACT The aim of this paper is to investigate the regional interdependence structure of energy equities in the US and in the EU. Based on weekly stock prices of 28 big energy firms in the… read more here.
Keywords: energy; dependence structure; copula; energy equity ... See more keywords
Functional Graphical Models
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DOI: 10.1080/01621459.2017.1390466
Abstract: ABSTRACT Graphical models have attracted increasing attention in recent years, especially in settings involving high-dimensional data. In particular, Gaussian graphical models are used to model the conditional dependence structure among multiple Gaussian random variables. As… read more here.
Keywords: high dimensional; conditional dependence; functional graphical; dependence structure ... See more keywords
The impact of the dependence structure in risk management: a focus on credit-risk
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DOI: 10.1080/03081079.2019.1579211
Abstract: ABSTRACT The aim of the paper is to discuss the important role of the dependence structure in risk management. Therefore, we focus on credit-risk and propose an innovative model to value the credit risk of… read more here.
Keywords: dependence structure; credit risk; risk;
Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
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DOI: 10.1080/03610926.2016.1248785
Abstract: ABSTRACT Consider the randomly weighted sums Sm(θ) = ∑mi = 1θiXi, 1 ⩽ m ⩽ n, and their maxima Mn(θ) = max 1 ⩽ m ⩽ nSm(θ), where Xi, 1 ⩽ i ⩽ n, are real-valued… read more here.
Keywords: dependence structure; weighted sums; randomly weighted; sums maxima ... See more keywords
Dependence Structure between China’s Stock Market and Other Major Stock Markets before and after the 2008 Financial Crisis
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DOI: 10.1080/1540496x.2019.1615434
Abstract: ABSTRACT To investigate changes in the dependence structure between China’s stock market and other important international stock markets as a result of the 2008 global financial crisis, the ARMA-GARCH skewed-t Vine Copula method is used… read more here.
Keywords: stock markets; crisis; dependence structure; stock ... See more keywords