Search
Now showing items 1-10 of 890
Uma construção de cópulas semilineares bivariadas baseada nas famílias AMH, FGM e Plackett
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2021-02-26)
Copulas are cumulative distribution functions defined on the unit square whose margins are uniform. In the context of the present work, we have provided three new families of semilinear copulas based on the copulas AMH, ...
Modelos de sobrevivência bivariados baseados na cópula PVF
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2020-03-13)
An alternative developed to study associations among multivariate survival times is the use of
models based on copula functions.
In this work, we use the survival model derived from the PVF copula, based on the Power
Variance ...
Copula-based regression models: A survey
(ELSEVIER SCIENCE BV, 2009)
In this review paper we collect several results about copula-based models, especially concerning regression models, by focusing on some insurance applications. (C) 2009 Elsevier B.V. All rights reserved.
Wavelet Smoothed Empirical Copula EstimatorsEstimadores Suavizados de Cópulas via Ondaletas
(Lociedade Brasileira de Finanças, 2010)
A method to obtain new copulas from a given one
(Springer Verlag Berlín, 2005-04)
Given a strictly increasing continuous function φ from [0, 1] to [0, 1] and its pseudo-inverse φ[−1], conditions that φ must satisfy for C φ (x1, . . . ,xn)=φ[−1](C(φ(x1), . . . ,φ(xn))) to be a copula for any copula C are ...
Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH
(Universidad Autónoma Metropolitana (México). Unidad Azcapotzalco., 2016)
El enfoque metodológico que se sigue en este trabajo para estudiar el co-movimiento de los cinco principales mercados de capital europeos es el de Cópula-GARCH, ajustando primero modelos GARCH para estimar las distribuciones ...
Price of pure agricultural insurance premiums using the Elliptical Copula Approach
(Universidad del Zulia, 2020)
Multivariate Skew Distributions Based on the GT-CopulaMultivariate Skew Distributions Based on the GT-Copula
(Sociedade Brasileira de Econometria, 2006)
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
(2016-06-22)
Regular vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially ...