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Relevant bibliographies by topics / Characteristic function copula

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Journal articles
Dissertations / Theses
Conference papers

Academic literature on the topic 'Characteristic function copula'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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Journal articles on the topic "Characteristic function copula"

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Bahraoui, Tarik, Taoufik Bouezmarni, and Jean-François Quessy. "Testing the symmetry of a dependence structure with a characteristic function." Dependence Modeling 6, no. 1 (2018): 331–55. http://dx.doi.org/10.1515/demo-2018-0019.

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AbstractThis paper proposes competing procedures to the tests of symmetry for bivariate copulas of Genest, Nešlehová and Quessy (2012). To this end, the null hypothesis of symmetry is expressed in terms of the copula characteristic function that uniquely determines the copula of a given bivariate population with continuous marginal distributions. Then, test statistics based on L2 weighted distances computed from an empirical version of the copula characteristic function are proposed. Their asymptotic behavior is derived under the null hypothesis as well as under general alternatives. In partic

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Latif, Shahid, and Firuza Mustafa. "Parametric Vine Copula Construction for Flood Analysis for Kelantan River Basin in Malaysia." Civil Engineering Journal 6, no. 8 (2020): 1470–91. http://dx.doi.org/10.28991/cej-2020-03091561.

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The multivariate approach of flood characteristics such as flood peak flow (P), volume (V), and duration (D) is much beneficial in recognizing the critical behaviour of flood episodes at a river basin scale. The incorporation of 2-dimensional copulas for establishing bivariate flood dependency frequently appears, but it could be more comprehensive if we focus all the three flood characteristic simultaneously. In such circumstances, incorporation of vine or Pair-Copula Construction (PCC) could produce a better approximation of joint probability density and much practical approach in the uncerta

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Bahraoui, Tarik, and Jean-François Quessy. "Tests of radial symmetry for multivariate copulas based on the copula characteristic function." Electronic Journal of Statistics 11, no. 1 (2017): 2066–96. http://dx.doi.org/10.1214/17-ejs1280.

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Hao, Huibing, Chun Su, and Chunping Li. "LED Lighting System Reliability Modeling and Inference via Random Effects Gamma Process and Copula Function." International Journal of Photoenergy 2015 (2015): 1–8. http://dx.doi.org/10.1155/2015/243648.

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Light emitting diode (LED) lamp has attracted increasing interest in the field of lighting systems due to its low energy and long lifetime. For different functions (i.e., illumination and color), it may have two or more performance characteristics. When the multiple performance characteristics are dependent, it creates a challenging problem to accurately analyze the system reliability. In this paper, we assume that the system has two performance characteristics, and each performance characteristic is governed by a random effects Gamma process where the random effects can capture the unit to un

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Wang, Junhui, Guangzhi Rong, Kaiwei Li, and Jiquan Zhang. "Analysis of Drought Characteristics in Northern Shaanxi Based on Copula Function." Water 13, no. 11 (2021): 1445. http://dx.doi.org/10.3390/w13111445.

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Precipitation is low and drought occurs frequently in Northern Shaanxi. To study the characteristics and occurrence and development of drought events in Northern Shaanxi is beneficial to the prevention and control of drought disasters. Based on the monthly rainfall data of 10 meteorological stations in Northern Shaanxi from 1960 to 2019, the characteristic variables of drought events at each meteorological station in Northern Shaanxi were extracted by using run theory and copula function. The joint probability distribution and recurrence period were obtained by combining the duration and inten

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Bravo Melo, Luis Carlos, Jennyfer Portilla Yela, and José Rafael Tovar Cuevas. "Using Copula Functions to Estimate The AUC for Two Dependent Diagnostic Tests." Revista Colombiana de Estadística 43, no. 2 (2020): 315–44. http://dx.doi.org/10.15446/rce.v43n2.80288.

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When performing validation studies on diagnostic classification procedures, one or more biomarkers are typically measured in individuals. Some of these biomarkers may provide better information; moreover, more than one biomarker may be significant and may exhibit dependence between them. This proposal intends to estimate the Area Under the Receiver Operating Characteristic Curve (AUC) for classifying individuals in a screening study. We analyze the dependence between the results of the tests by means of copula-type dependence (using FGM and Gumbel-Barnett copula functions), and studying the re

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Wang, Junhui, Guangzhi Rong, Kaiwei Li, and Jiquan Zhang. "Analysis of Characteristics of Dry–Wet Events Abrupt Alternation in Northern Shaanxi, China." Water 13, no. 17 (2021): 2384. http://dx.doi.org/10.3390/w13172384.

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In this study, Yulin city and Yan’an city in northern Shaanxi Province were taken as the study area. Based on the diurnal dry–wet events abrupt alternation index DWAAI, the joint probability distribution of two characteristic variables of “urgency” and “alternation” of dry–wet events abrupt alternation was established by using copula function, and the characteristics of dry–wet events abrupt alternation were analyzed. DWAAI was calculated from daily precipitation data and the applicability of the index was verified. On this basis, the two characteristic variables of “urgency” and “alternation”

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Otkur, Abudureymjang, Dian Wu, Yin Zheng, Jong-Suk Kim, and Joo-Heon Lee. "Copula-Based Drought Monitoring and Assessment According to Zonal and Meridional Temperature Gradients." Atmosphere 12, no. 8 (2021): 1066. http://dx.doi.org/10.3390/atmos12081066.

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Drought is one of the most severe natural disasters. However, many of its characteristic variables have complex nonlinear relationships. Therefore, it is difficult to construct effective drought assessment models. In this study, we analyzed regional drought characteristics in China to identify their relationship with changes in meridional and zonal temperature gradients. Drought duration and severity were extracted according to standardized precipitation evapotranspiration index (SPEI) drought grades. Trends in drought duration and severity were detected by the Mann-Kendall test for the period

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Wu, Liang, Yaming Zhuang, and Xiaojing Lin. "Credit Derivatives Pricing Model for Fuzzy Financial Market." Mathematical Problems in Engineering 2015 (2015): 1–6. http://dx.doi.org/10.1155/2015/879185.

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With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing. Based on fuzzy process theory, this paper first brings fuzziness into credit derivatives pricing, discusses some pricing formulas of credit derivatives, and puts forward a One-Factor Fuzzy Copula function which builds a foundation for portfolio credit products pricing. Some numerical calculating samples are presented as wel

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Han, Wen Qin, and Jin Yu Zhou. "Fatigue Reliability Copula Model of Structural Systems with Fatigue Life Correlation." Advanced Materials Research 199-200 (February 2011): 548–54. http://dx.doi.org/10.4028/www.scientific.net/amr.199-200.548.

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It is the common characteristic of most engineering systems that failure statistical correlation of elements exists in the fatigue happened process due to the twin loads．Based on randomized Basquin equation，the constitutive relations between element life and twin loads，initial strength,fatigue strength exponent are established．Product-moment correlation coefficients are derived and used to quantify the dependence of logarithm life of elements．Aim at fatigue life correlation of elements in structural systems, the computation model of the system reliability is preliminarily established by means

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Dissertations / Theses on the topic "Characteristic function copula"

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Bahraoui, Tarik. "Tests de type fonction caractéristique en inférence de copules." Thèse, Université de Sherbrooke, 2017. http://hdl.handle.net/11143/11255.

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Une classe générale de statistiques de rangs basées sur la fonction caractéristique est introduite afin de tester l'hypothèse composite d'appartenance à une famille de copules multidimensionnelles. Ces statistiques d'adéquation sont définies comme des distances fonctionnelles de type L_2 pondérées entre une version non paramétrique et une version semi-paramétrique de la fonction caractéristique que l'on peut associer à une copule. Il est démontré que ces statistiques de test se comportent asymptotiquement comme des V-statistiques dégénérées d'ordre quatre et que leurs lois limites s'expriment

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Kadje, Kenmogne Romain. "Estimation de paramètres en exploitant les aspects calculatoires et numériques." Thèse, 2017. http://hdl.handle.net/1866/20584.

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Conference papers on the topic "Characteristic function copula"

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Shen, Linjie, Yugang Zhang, and Xinchen Zhuang. "Research on Function Reliability of Gear Door Lock System With Correlated Failure Models Based on Mixed Copula." In ASME 2016 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/imece2016-66619.

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The gear door lock system (GDLS) is a mechanism with multi-failure modes. It often leads to a large error when ignoring the correlation between failure modes. Copula theory in this work is applied to research the correlation between two failure modes. A dynamic simulation model is constructed to acquire the joint statistics characteristics of the two failure modes. Gumbel and Clayton Copula functions are chosen to establish the reliability model respectively, which shows that the single Copula model cannot fully capture the tail dependence. To solve the problem, a mixed Copula function is cons

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Bačová Mitková, Veronika, and Dana Halmová. "ESTIMATION OF THE FLOOD MAXIMUM VOLUMES FOR VARIOUS DURATIONS OF THE RIVER RUNOFF AND THEIR MUTUAL DEPENDANCES: A CASE STUDY ON HRON RIVER IN SLOVAKIA." In XXVII Conference of the Danubian Countries on Hydrological Forecasting and Hydrological Bases of Water Management. Nika-Tsentr, 2020. http://dx.doi.org/10.15407/uhmi.conference.01.17.

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This work deals with the determination of the annual maximum discharge volumes on the Hron River for the runoff time duration t = 2, 5, 10, and 20 days. The series of 84 years (1931–2015) mean daily discharges of the Hron River at Banská Bystrica station was used as input data to calculate the maximum annual volumes of runoff of the Hron River. Subsequently, the theoretical curves of exceedance of the maximal discharge volumes were determined by the LogPearson distribution of the Type III. This type of probability distribution is used to estimate maximum (extreme) values across a range of natu

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