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Journal articles on the topic 'Copula be'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Pérez-Ilzarbe, Paloma. "The Signification of the Copula in Fernando de Enzinas’ Syncategoremata." Vivarium 53, no. 2-4 (2015): 405–23. http://dx.doi.org/10.1163/15685349-12341307.

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This article deals with a brief difficultas in the Tractatus de compositione propositionis mentalis by Fernando de Enzinas: qualiter copule significent tempus et an copule de presenti et preterito sint synonime. A progressive determination of the signification of the copula is analysed: first, Enzinas defines his position about the principal syncategorematic signification of the copula; then, he analyses the sense of the consignification of time traditionally attributed to the copula. The originality of Enzinas’ position is highlighted, given the fact that he gives preference to the question a

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2

Chiravate, Boonjeera. "Aspectual Properties and Polarity-Sensitivity of Copulas pen1 and khʉʉ1 in Thai". MANUSYA 15, № 1 (2012): 1–18. http://dx.doi.org/10.1163/26659077-01501001.

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‘Pen1’ and ‘khʉʉ1’ in Thai have traditionally been regarded as copular verbs comparable to ‘be’ in English. Appearing in a copulative sentence, the two Thai copula verbs, however, differ in polarity-sensitivity. The present study demonstrates that the difference in polarity-sensitivity of the two Thai copulas cannot be accounted for within the theory of polarity-sensitive items previously proposed. Investigating the aspectual properties of the two Thai copulas in comparison with those of English copula, this study suggests that an explanation for the difference in polarity-sensitivity of the t

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3

Geist, Ljudmila. "Russisch byt' ('sein') als funktionale und/oder lexikalische Kategorie." ZAS Papers in Linguistics 14 (January 1, 1999): 1–39. http://dx.doi.org/10.21248/zaspil.14.1999.3.

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The present study offers an analysis of the Russian copular constructions with predicate nominals. In such copular sentences two cases may mark the predicate: the nominative and the instrumental as in 'Anna byla medsestra/medsestroj' - 'Anna was-3sg.fem.a nursenom/instr'. In the present tense the copula has a null-form and the predicate nominal can only be in the nominative. I argue that the case alternation corresponds to the distinction of Stage Level and Individual Level Predicates in the sense of Kratzer (1994) and Diesing (1992), but with some objections. The copula with Instrumental form

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4

Mikulskas, Rolandas. "Descriptive problems in defining the category of copulas: syntactic and semantic distribution of the ingressive copulas VIRSTI and TAPTI." Lietuvių kalba, no. 12 (December 15, 2018): 1–63. http://dx.doi.org/10.15388/lk.2018.22519.

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Cognitive Grammar (Langacker 1991) allows for a unified account of copular constructions. In this framework, all types of copular constructions can be seen as the different instantiations of a single archetype of statements of identity between two entities (Mikulskas 2017). Radical Construction Grammar, the framework adopted in this article, also allows for a unified account of copular verbs, as it views both so-called ‘semi-copulas’ and typical copulas as members of a single category of copulas as long as each of them fills the same slot between the thematic argument and the predicative compl

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5

Edwards, H. H., P. Mikusiński, and M. D. Taylor. "Measures of concordance determined byD4-invariant copulas." International Journal of Mathematics and Mathematical Sciences 2004, no. 70 (2004): 3867–75. http://dx.doi.org/10.1155/s016117120440355x.

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A continuous random vector(X,Y)uniquely determines a copulaC:[0,1]2→[0,1]such that when the distribution functions ofXandYare properly composed intoC, the joint distribution function of(X,Y)results. A copula is said to beD4-invariant if its mass distribution is invariant with respect to the symmetries of the unit square. AD4-invariant copula leads naturally to a family of measures of concordance having a particular form, and all copulas generating this family areD4-invariant. The construction examined here includes Spearman’s rho and Gini’s measure of association as special cases.

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6

Petré,, Peter. "General productivity: How become waxed and wax became a copula." Cognitive Linguistics 23, no. 1 (2012): 27–65. http://dx.doi.org/10.1515/cog-2012-0002.

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AbstractThis article provides an analysis—within the framework of Radical Construction Grammar—of how become developed into a copula ‘become’ out of an original sense ‘arrive’, and wax, originally ‘grow’, also came to be used as a copula ‘become’. Importantly, it explains why these verbs successfully became fully productive copulas in a very short period of time. It is argued that this happened after a pre-copular stage had reached a cognitive threshold value. The occurrence of this threshold is related to the fact that the copular constructions featuring become and wax were not the end result

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7

Li, Zhanling, Quanxi Shao, Qingyun Tian, and Louie Zhang. "Copula-based drought severity-area-frequency curve and its uncertainty, a case study of Heihe River basin, China." Hydrology Research 51, no. 5 (2020): 867–81. http://dx.doi.org/10.2166/nh.2020.173.

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Abstract Copulas are appropriate tools in drought frequency analysis. However, uncertainties originating from copulas in such frequency analysis have not received significant consideration. This study aims to develop a drought severity-areal extent-frequency (SAF) curve with copula theory and to evaluate the uncertainties in the curve. Three uncertainty sources are considered: different copula functions, copula parameter estimations, and copula input data. A case study in Heihe River basin in China is used as an example to illustrate the proposed approach. Results show that: (1) the dependence

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8

Welch, Nicholas. "Differential grammaticalization of copulas in Tsúùt’ínà and Tłı̨chǫ Yatıì." Diachronica 36, no. 2 (2019): 262–93. http://dx.doi.org/10.1075/dia.15031.wel.

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Abstract The languages of the Dene (aka Athapaskan) family in North America almost universally employ two copular verbs. In several languages of this family, copular forms are also employed as verbal auxiliaries: forms of one copula mark clausal focus while forms of the other mark TAM (tense/aspect/mode) categories. With reference to two Dene languages in particular, Tłı̨chǫ Yatıì and Tsúùt’ínà, I explain this difference by positing distinct grammaticalization paths and motivations for each copula: both focus and TAM markers originate in a uniclausal reanalysis of biclausal constructions, the

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9

Kamaruzaman, Izzat Fakhruddin, Wan Zawiah Wan Zin, and Noratiqah Mohd Ariff. "A generalized bivariate copula for flood analysis in Peninsular Malaysia." Malaysian Journal of Fundamental and Applied Sciences 15, no. 1 (2019): 38–49. http://dx.doi.org/10.11113/mjfas.v15n2019.1275.

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This study generalized the best copula to characterize the joint probability distribution between rainfall severity and duration in Peninsular Malaysia using two dimensional copulas. Specifically, to construct copulas, Inference Function for Margins (IFM) and Canonical Maximum Likelihood (CML) methods were specially exploited. For the purpose of achieving copula fitting, the derived rainfall variables by making use of the Standardized Precipitation Index (SPI) were fitted into several distributions. Five copulas, namely Gaussian, Clayton, Frank, Joe and Gumbel were put to the tests to establis

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10

Girard, Stéphane. "Transformation of a copula using the associated co-copula." Dependence Modeling 6, no. 1 (2018): 298–308. http://dx.doi.org/10.1515/demo-2018-0017.

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AbstractWe investigate the properties of a new transformation of copulas based on the co-copula and an univariate function. It is shown that several families in the copula literature can be interpreted as particular outputs of this transformation. Symmetry, association, ordering and dependence properties of the resulting copula are established.

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11

Cooray, Kahadawala. "Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family." Dependence Modeling 6, no. 1 (2018): 1–18. http://dx.doi.org/10.1515/demo-2018-0001.

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Abstract The family of Clayton copulas is one of the most widely used Archimedean copulas for dependency measurement. A major drawback of this copula is that when it accounts for negative dependence, the copula is nonstrict and its support is dependent on the parameter. The main motivation for this paper is to address this drawback by introducing a new two-parameter family of strict Archimedean copulas to measure exchangeable multivariate dependence. Closed-form formulas for both complete and d−monotonicity parameter regions of the generator and the copula distribution function are derived. In

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12

Liu, Yue Fei, and Da Gang Lu. "Reliability Analysis of Two-Dimensional Series Portal-Framed Bridge System Based on Mixed Copula Functions." Key Engineering Materials 574 (September 2013): 95–105. http://dx.doi.org/10.4028/www.scientific.net/kem.574.95.

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In this paper, several commonly-used Elliptical copulas and Archimedean copulas were introduced, and their application in the correlation analysis were also described in detal. For the two failure modes of two-dimensional series portal-framed bridge system, the performance function values with respect to the failure modes were considered as the analysis variables of the chosen copula functions, and the Baysian copula selection method was applied to select the proper copula functions. And then, the two-dimension mixed copula function was built. Thereinto, the uncertain parameters of copula func

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13

ZHANG, KONGSHENG, JINGUAN LIN, and CHAO HUANG. "SOME NEW RESULTS ON WEIGHTED GEOMETRIC MEAN FOR COPULAS." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 21, no. 02 (2013): 277–88. http://dx.doi.org/10.1142/s0218488513500153.

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Cuadras (Constructing copula functions with weighted geometric means, Journal of Statistical Planning and Inference139 (2009) 3766–3772) showed that geometric mean of the Cuadras–Augé copula and the Gumbel–Barnett copula is a copula by means of generalized function. In this paper, we adopt the method proposed by Durante et al. (2-Increasing binary aggregation operators, Information Sciences177 (2007) 111–129) to investigate weighted geometric mean of the Cuadras–Augé copula and the Gumbel–Barnett copula, as well as weighted geometric mean of the Gumbel–Barnett copula and the New copula. We als

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14

Yang, Jingping, Zhijin Chen, Fang Wang, and Ruodu Wang. "COMPOSITE BERNSTEIN COPULAS." ASTIN Bulletin 45, no. 2 (2015): 445–75. http://dx.doi.org/10.1017/asb.2015.1.

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AbstractCopula function has been widely used in insurance and finance for modeling inter-dependency between risks. Inspired by the Bernstein copula put forward by Sancetta and Satchell (2004, Econometric Theory, 20, 535–562), we introduce a new class of multivariate copulas, the composite Bernstein copula, generated from a composition of two copulas. This new class of copula functions is able to capture tail dependence, and it has a reproduction property for the three important dependency structures: comonotonicity, countermonotonicity and independence. We introduce an estimation procedure bas

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15

Welch, Nicholas, and Marie-Louise Bouvier White. "Copular clauses in Dene languages: Argument structure and interpretation." Canadian Journal of Linguistics/Revue canadienne de linguistique 66, no. 2 (2021): 223–54. http://dx.doi.org/10.1017/cnj.2021.12.

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AbstractA widely accepted assumption in both the syntactic and semantic literature is that copulas lack semantic content. A consequent question is how to explain the existence in certain languages of two copular verbs that give rise to different interpretations. Such is the case in numerous languages of the Dene family (formerly known as Athapaskan). We explain this situation with the hypothesis that the copulas realize an underlying three-copula system differing in argument structure. Differences between the interpretations of copular clauses in these languages originate in the compositional

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16

Helgestad Tombleson, Anette. "The copula system of Tawang Monpa." Linguistics of the Tibeto-Burman Area 43, no. 1 (2020): 37–54. http://dx.doi.org/10.1075/ltba.17013.tom.

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Abstract This paper is a description of the copula system of Tawang Monpa [Dakpa], an East-Bodish language, spoken in Arunachal Pradesh in India and by small groups of speakers in Bhutan and Tibet. There are two equative copulas in Tawang Monpa: personal jin and neutral jim, and three existential copulas: testimonial ni, neutral num and personal nou. In addition, there are separate negative copulas; equative: personal men and neutral menum, and existential: testimonial mon, neutral munum and personal monou. There is also one example of a past positive copula ne and a past negative copula monel

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17

Aldhufairi, Fadal Abdullah-A., Ranadeera G. M. Samanthi, and Jungsywan H. Sepanski. "New Families of Bivariate Copulas via Unit Lomax Distortion." Risks 8, no. 4 (2020): 106. http://dx.doi.org/10.3390/risks8040106.

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This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval. Existing copulas play the role of the base copulas that are distorted into new families of copulas with additional parameters, allowing more flexibility and better fit to data. We present general forms for the new bivariate copula function and its conditional and density distributions. The properties of the new family of the unit-Lomax induced copulas, including the tail beh

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18

Mikulskas, Rolandas. "Aspectual variation in Lithuanian copular constructions." Lietuvių kalba, no. 9 (December 18, 2015): 1–49. http://dx.doi.org/10.15388/lk.2015.22627.

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In this article an attempt is made to pinpoint all possibilities of expressing aspectual meanings in Lithuanian copular constructions. The author departs from the tradition of distinguishing only perfective vs. imperfective aspect in Lithuanian. Instead, in testing various possibilities of expressing aspect in the constructions under discussion, the relevant meanings are chosen from a wider range of aspectual grams established in recent typological work on aspect.Until now the aspect of copular constructions had remained an understudied and underdescribed topic not only in Lithuanian. This is

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19

Bacigál, Tomáš, and Mária Ždímalová. "Convergence of Linear Approximation of Archimedean Generator from Williamson’s Transform in Examples." Tatra Mountains Mathematical Publications 69, no. 1 (2017): 1–18. http://dx.doi.org/10.1515/tmmp-2017-0010.

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Abstract We discuss a new construction method for obtaining additive generators of Archimedean copulas proposed by McNeil, A. J.-Nešlehová, J.: Multivariate Archimedean copulas, d-monotone functions and l1-norm symmetric distributions, Ann. Statist. 37 (2009), 3059-3097, the so-called Williamson n-transform, and illustrate it by several examples. We show that due to the equivalence of convergences of positive distance functions, additive generators and copulas, we may approximate any n-dimensional Archimedean copula by an Archimedean copula generated by a transformation of weighted sum of Dira

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20

Cossin, Didier, Henry Schellhorn, Nan Song, and Satjaporn Tungsong. "A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula." Advances in Decision Sciences 2010 (May 19, 2010): 1–29. http://dx.doi.org/10.1155/2010/546547.

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One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to decouple statistical inference into two parts: inference of the marginals and inference of the dependence. This is particularly important in the area of credit risk where information on dependence is scant. Whereas the techniques to estimate the parameters of the copula function seem to be fairly well established, the choice of the copula function is still an open problem. We find out by simulation t

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21

Geenens, Gery. "Copula modeling for discrete random vectors." Dependence Modeling 8, no. 1 (2020): 417–40. http://dx.doi.org/10.1515/demo-2020-0022.

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Abstract Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar’s theorem, “the fundamental theorem of copulas”, makes a clear distinction between the continuous case and the discrete case, though. In particular, the copula of a discrete random vector is not fully identifiable, which causes serious inconsistencies. In spite of this, downplaying statements may be found in the related literature, where copula methods are used for modelling dependence between discrete variables. This paper calls to reconsidering the

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Biel, Gabriela. "Probabilistic analysis of coincident sums of precipitation at two measurement stations. Introduction to the method and an example." ITM Web of Conferences 23 (2018): 00002. http://dx.doi.org/10.1051/itmconf/20182300002.

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This article proposes the use of copula (copula function) for the purpose of two-dimensional analysis of the sums of precipitation as measured with a Hellman rain-gauge. The sums of precipitation are characterized by a two-dimensional random variable: the sum of uninterrupted sequence of rainfalls which were measured in Jelcz-Laskowice and the corresponding (coincident) sum of precipitation at the Botanical Garden in Wrocław. Several problems occur from the very start: debonding from time and lack of precipitation on one of stations. For the purpose of greater precision and correction it shoul

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Nanthakumar, Ampalavanar. "Multivariate Kurtosis as a Tool for Comparing Copula Models." International Journal of Statistics and Probability 5, no. 4 (2016): 67. http://dx.doi.org/10.5539/ijsp.v5n4p67.

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This paper studies the effectiveness of the Multivariate Kurtosis in comparing the Clayton Copula and the Farleigh-Gumbel-Morgenstern Copula in modeling when the actual populations follow either the bivariate exponential distribution or the bivariate normal distribution. The study shows that the Multivariate Kurtosis (as defined by Mardia) is a very effective tool in comparing Copulas and that Farleigh-Gumbel-Morgenstern Copula is slightly more accurate than the Clayton Copula for modeling.

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Zhou, Jin Yu, Kui Zhou Sun, and Xiu Lian Li. "Reliability Modeling for Symmetric Structure Systems Based on Copulas." Advanced Materials Research 118-120 (June 2010): 319–26. http://dx.doi.org/10.4028/www.scientific.net/amr.118-120.319.

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As a new tool of statistical analysis, Copula is introduced to build reliability model for structural system consisting of identical components, by which the complex feature of failure dependence can be depicted. Aiming at symmetric structure systems, typical failure-dependence mechanism of components is discussed firstly. Considering the failure-dependence mechanism, modeling steps based on Gauss Copula and Archimedean Copulas are put forward, in which the twin stress, components strength are chosen as the basic variables and the safety margins are chosen as the analytic variables. Compared w

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Nanthakumar, A. "A Comparison of Archimedean Copula Models for approximating Bivariate Skew-Normal Distribution." International Journal of Statistics and Probability 9, no. 1 (2020): 70. http://dx.doi.org/10.5539/ijsp.v9n1p70.

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This paper compares the performance of some Archimedean Copulas in approximating the bivariate skew-normal distribution. Our study shows Frank Copula is a better Archimedean Copula for approximating the bivariate skew-normal distribution.

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Kelner, Moshe, Zinoviy Landsman, and Udi E. Makov. "Compound Archimedean Copulas." International Journal of Statistics and Probability 10, no. 3 (2021): 126. http://dx.doi.org/10.5539/ijsp.v10n3p126.

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The copula function is an effective and elegant tool useful for modeling dependence between random variables. Among the many families of this function, one of the most prominent family of copula is the Archimedean family, which has its unique structure and features. Most of the copula functions in this family have only a single dependence parameter which limits the scope of the dependence structure. In this paper we modify the generator of Archimedean copulas in a way which maintains membership in the family while increasing the number of dependence parameters and, consequently, creating new c

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27

Faugeras, Olivier P. "Inference for copula modeling of discrete data: a cautionary tale and some facts." Dependence Modeling 5, no. 1 (2017): 121–32. http://dx.doi.org/10.1515/demo-2017-0008.

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AbstractIn this note, we elucidate some of the mathematical, statistical and epistemological issues involved in using copulas to model discrete data. We contrast the possible use of (nonparametric) copula methods versus the problematic use of parametric copula models. For the latter, we stress, among other issues, the possibility of obtaining impossible models, arising from model misspecification or unidentifiability of the copula parameter.

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SUHARTO, AULIA ATIKA PRAWIBTA, KOMANG DHARMAWAN, and I. WAYAN SUMARJAYA. "ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA." E-Jurnal Matematika 6, no. 1 (2017): 15. http://dx.doi.org/10.24843/mtk.2017.v06.i01.p143.

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Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family. The methods for calculating the VaR are as follows: (1) calculating the stock return; (2) calculating descriptive statistics of return; (3) checking for the nature of autocorrelation and heteroscedasticity effects on stock return data; (4) checking for the presence of extreme value by using Pareto tail; (5) estimating the parameters of Achimedean Co

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Locarek-Junge, Hermann, Anne Sumpf, and Thomas Walther. "Anwendung der Copula-Formel in der Finanzwirtschaft: Höllenformel oder nützliches Abhängigkeitsmaß?" WiSt - Wirtschaftswissenschaftliches Studium 48, no. 2-3 (2019): 12–19. http://dx.doi.org/10.15358/0340-1650-2019-2-3-12.

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In Folge der Finanzkrise von 2008 wurde die Copula für die „Zerstörung” der Wall Street verantwortlich gemacht. Die Copula erlaubt es auf einfache Weise die Abhängigkeitsstrukturen von Finanzinstrumenten zu beschreiben. Allerdings kann der unbedachte Gebrauch kostspielige Folgen bei Eintritt von Extremsituationen haben. Dieser Artikel führt in die mathematischen Grundlagen des Copula Konzepts ein. Im zweiten Teil des Artikels wird mit Hilfe der statistischen Software R konkretisiert, wie Copulae geschätzt und im Risikomanagement angewandt werden können.

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Kopeć, Zbigniew. "Towards a Construction Grammar Analysis of English Pseudo-Copular Constructions with Perceptual Impression Verbs." Biuletyn Polskiego Towarzystwa Językoznawczego LXXVI, no. 76 (2020): 321–35. http://dx.doi.org/10.5604/01.3001.0014.6663.

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Be as a copula in English, traditionally part of the subject-verb-subject complement pattern, syntactically links the subject to a complement and semantically makes little or no contribution of its own to the meaning of the clause. Semi-copulas (e.g. become, grow, turn, remain, etc.) share a number of properties with the be copula, but differ from it in that they cannot be left out without resulting in ungrammaticality or changing the meaning of the construction. They are introduced as the expression of ingressive or continuative aspect. Pseudo-copulas including perceptual impression verbs suc

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Pustet, Regina. "Copulas in Sgaw Karen." Studies in Language 26, no. 3 (2002): 595–612. http://dx.doi.org/10.1075/sl.26.3.05pus.

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Many languages have copula systems involving more than one copula. In such languages, the functional scopes of the participating copulas vary. This kind of typological variation has not yet been studied in great detail. In Sgaw Karen, three copulas exist, and the functional differences among these can be defined at the semantic as well as at the pragmatic level. For instance, the contrast between the copulas mewæþ and kʔ seems to be coextensive with the notional difference between nouns and adjectives as postulated by theorists such as Croft, Langacker, and Wierzbicka.

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Pfeifer, Dietmar, Andreas Mändle, Olena Ragulina, and Côme Girschig. "New copulas based on general partitions-of-unity (part III) — the continuous case." Dependence Modeling 7, no. 1 (2019): 181–201. http://dx.doi.org/10.1515/demo-2019-0009.

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AbstractIn this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields. We present a general simple algorithm to generate such copulas on the basis of the empirical copula from high-dimensional data sets. In particular, our constructions also allow for an implementation of positive tail dependence which sometimes is a desirable property of copula modelling, in particular for internal models under Solvency II.

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Khan, Geoffrey. "Remarks on the Historical Development and Syntax of the Copula in North-Eastern Neo-Aramaic Dialects." Aramaic Studies 16, no. 2 (2018): 234–69. http://dx.doi.org/10.1163/17455227-01602010.

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Abstract This paper examines some aspects of the morphology and syntax of the copula in the North-Eastern Neo-Aramaic (NENA) dialects. The first part proposes a possible pathway for the diachronic development of the morphology of the copula, with particular attention to the innovative inflection of the 3rd person. It is argued that this originated in deictic constructions that were reanalysed as deictic copulas. The second part offers a functional explanation for the position of the copula before or after the predicate. It is argued that many constructions that place the copula before the pred

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Demarta, Stefano, and Alexander J. McNeil. "The t Copula and Related Copulas." International Statistical Review 73, no. 1 (2007): 111–29. http://dx.doi.org/10.1111/j.1751-5823.2005.tb00254.x.

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35

Richards, Brian, and Peter Robinson. "Environmental correlates of child copula verb growth." Journal of Child Language 20, no. 2 (1993): 343–62. http://dx.doi.org/10.1017/s030500090000831x.

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ABSTRACTA recurring result from studies which relate the frequency of input variables to rate of language development, is the link between auxiliary verb growth and yes—no questions addressed to children. Explanations for this relationship usually concentrate on the advantages of hearing stressed and non-contracted auxiliary forms in sentence-initial position over hearing unstressed, contracted forms in medial position in declaratives. If such accounts are correct, then it can be predicted that yes—no questions which place forms of COPULA be in initial position will also increase the rate of g

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Liu, Guannan, Wei Long, Xinyu Zhang, and Qi Li. "DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS." Econometric Theory 35, no. 4 (2018): 777–815. http://dx.doi.org/10.1017/s0266466618000270.

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A mixture copula is a linear combination of several individual copulas that can be used to generate dependence structures not belonging to existing copula families. Because different pairs of markets may exhibit quite different dependence structures in empirical studies, mixture copulas are useful in modeling the dependence in financial data. Therefore, rather than selecting a single copula based on certain criteria, we propose using a model averaging approach to estimate financial data dependence structures in a mixture copula framework. We select weights (for averaging) by a J-fold Cross-Val

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Wang, Ruihua, and Hongjun Wang. "Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model." Journal of Systems Science and Information 8, no. 3 (2020): 240–52. http://dx.doi.org/10.21078/jssi-2020-240-13.

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AbstractIn this paper, M-Copula is used to analyze the correlation between Shanghai Composite Index and Shanghai Fund Index. By analyzing the characteristics of the logarithmic yields sequence of two samples, the marginal distribution model is established by using EGARCH-M-GED model. According to the correlation between two logarithmic yields sequence, the M-Copula model is selected to model its correlation structure, and its parameters are estimated by EM algorithm. Because M-Copula combines characteristics of different Copulas, it has more flexible distribution forms and more prominent abili

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Sugimoto, T., A. Bárdossy, G. S. S. Pegram, and J. Cullmann. "Investigation of hydrological time series using copulas for detecting catchment characteristics and anthropogenic impacts." Hydrology and Earth System Sciences Discussions 12, no. 9 (2015): 9157–203. http://dx.doi.org/10.5194/hessd-12-9157-2015.

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Abstract. Global climate change can have impacts on characteristics of rainfall-runoff events and subsequently on the hydrological regime. Meanwhile, the catchment itself changes due to anthropogenic influences. In this context, it can be meaningful to detect the temporal changes of catchments independent from climate change by investigating existing long term discharge records. For this purpose, a new stochastic system based on copulas for time series analysis is introduced. While widely used time series models are based on linear combinations of correlations assuming a Gaussian behavior of v

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Bernard, Carole, Xiao Jiang, and Steven Vanduffel. "A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)." Journal of Applied Probability 49, no. 03 (2012): 866–75. http://dx.doi.org/10.1017/s0021900200009591.

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Tankov (2011) improved the Fréchet bounds for a bivariate copula when its values on a compact subset of [0, 1]2 are given. He showed that the best possible bounds are quasi-copulas and gave a sufficient condition for these bounds to be copulas. In this note we give weaker sufficient conditions to ensure that the bounds are copulas. We also show how this can be useful in portfolio selection. It turns out that finding a copula as a lower bound plays a key role in determining optimal investment strategies explicitly for investors with some type of state-dependent constraints.

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Bernard, Carole, Xiao Jiang, and Steven Vanduffel. "A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)." Journal of Applied Probability 49, no. 3 (2012): 866–75. http://dx.doi.org/10.1239/jap/1346955339.

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Tankov (2011) improved the Fréchet bounds for a bivariate copula when its values on a compact subset of [0, 1]2 are given. He showed that the best possible bounds are quasi-copulas and gave a sufficient condition for these bounds to be copulas. In this note we give weaker sufficient conditions to ensure that the bounds are copulas. We also show how this can be useful in portfolio selection. It turns out that finding a copula as a lower bound plays a key role in determining optimal investment strategies explicitly for investors with some type of state-dependent constraints.

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Guzmics, Sándor, and Georg Ch Pflug. "Modelling cascading effects for systemic risk: Properties of the Freund copula." Dependence Modeling 7, no. 1 (2019): 24–44. http://dx.doi.org/10.1515/demo-2019-0002.

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AbstractWe consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents. We study in particular the pertaining bivariate copula function. This copula does not have a closed form and does not belong to the class of Archimedean copulas, either.We derive some monotonicity properties of it and show how to use this copula for modelling the cascade effect implicitly contained in observed CDS spreads.

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Valls Pereira, Pedro Luiz, and Ricardo Pires De Souza Santos. "Modelando Contágio Financeiro através de Copulas." Brazilian Review of Finance 9, no. 3 (2011): 335. http://dx.doi.org/10.12660/rbfin.v9n3.2011.2942.

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This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis in the dependence between markets. The implemented model was an ARMA(1,0) st-ARCH(1,2) to the marginal distributions and Normal and Joe-Clayton (SJC) copulas for the joint distribution. The results obtained allow to conclude that both for the gaussian copula and for the SJC copula there is evidence of contagion between the US market and the Bra

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Di Bernardino, Elena, and Didier Rullière. "A note on upper-patched generators for Archimedean copulas." ESAIM: Probability and Statistics 21 (2017): 183–200. http://dx.doi.org/10.1051/ps/2017003.

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The class of multivariate Archimedean copulas is defined by using a real-valued function called the generator of the copula. This generator satisfies some properties, including d-monotonicity. We propose here a new basic transformation of this generator, preserving these properties, thus ensuring the validity of the transformed generator and inducing a proper valid copula. This transformation acts only on a specific portion of the generator, it allows both the non-reduction of the likelihood on a given dataset, and the choice of the upper tail dependence coefficient of the transformed copula.

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Bohdalová, Mária, and Michal Greguš. "COPULA BASED VaR APPROACH FOR EUROPEAN STOCKS PORTFOLIO." CBU International Conference Proceedings 1 (June 30, 2013): 9–18. http://dx.doi.org/10.12955/cbup.v1.9.

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The paper gives stochastic assessments of the financial crisis and discusses the Value at Risk European stocks from the point of view of copula based approach. Copula techniques can be based on the connection between rank correlation and certain one–parameter bivariate copulas. This relation allows easy calibration of the parameters. We use more general numerical calibration techniques that are based on maximum likelihood estimation (MLE). Using this approach we want to estimate VaR of the EU stocks portfolio using Monte Carlo simulation. The focus will be on modelling the interdependence betw

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Alanazi, Fadhah Amer. "A Mixture of Regular Vines for Multiple Dependencies." Journal of Probability and Statistics 2021 (May 4, 2021): 1–15. http://dx.doi.org/10.1155/2021/5559518.

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To uncover complex hidden dependency structures among variables, researchers have used a mixture of vine copula constructions. To date, these have been limited to a subclass of regular vine models, the so-called drawable vine, fitting only one type of bivariate copula for all variable pairs. However, the variation of complex hidden correlations from one pair of variables to another is more likely to be present in many real datasets. Single-type bivariate copulas are unable to deal with such a problem. In addition, the regular vine copula model is much more capable and flexible than its subclas

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önalan, ömer. "The modeling of extreme stochastic dependence using copulas and extreme value theory: case study from energy prices." Global Journal of Mathematical Analysis 5, no. 2 (2017): 29. http://dx.doi.org/10.14419/gjma.v5i2.7256.

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In this paper, we investigate the properties of tail dependence with an approach which is based on the copula models and extreme value theory to obtain a joint distribution function of extreme events and to quantify the dependence between random variables. To achieve this objective, we quantify the large co-movements between the random variables returns which are based on the data set daily quotes of exceeds the threshold value of random variables. In this study, stochastic dependence was modeled by the copulas which it provides a good approach for constructing multivariate probability distrib

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Roberto Carlos, Lombardo, and Goshima Seiji. "Sexual conflict inNeptunea arthritica: the power asymmetry and female resistance." Journal of the Marine Biological Association of the United Kingdom 91, no. 1 (2010): 251–56. http://dx.doi.org/10.1017/s0025315410000184.

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Copula trials inNeptunea arthriticawere conducted to provide possible hypotheses explaining the outcomes of reproductive interaction with regards to size differences and female resistance in the context of conflict over copula duration between the sexes. Size asymmetry predicted the outcome of copula duration to favour the largest individuals. Female resistance was expressed consistently and increased with consecutive copulas, generating variation in copula duration. When resistance was removed, copula duration increased in contrast with natural trials suggesting intense conflict. Overall, mal

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Jin, Dawei. "Copula functions in a cross-Sinitic perspective." Folia Linguistica 54, no. 1 (2020): 89–132. http://dx.doi.org/10.1515/flin-2020-2028.

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AbstractThis paper investigates the distinct functions associated with the copula morpheme and their distribution across Sinitic languages. Based on fieldwork on five Sinitic languages, an empirical generalization will be presented regarding the scope and variation of copular multifunctionality. Specifically, language-specific variation is witnessed in topic and conditional marking as well as verum marking. Conversely, it is found that Sinitic languages converge on employing the copula in constructions expressing phrasal and clausal level focus. The paper further explores whether these copular

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Ismail, S., G. Yu, G. Reinert, and T. Maynard. "A two-component copula with links to insurance." Dependence Modeling 5, no. 1 (2017): 295–303. http://dx.doi.org/10.1515/demo-2017-0017.

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Abstract This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of two companies or lines of business are related through a random common loss factor which is then multiplied by an individual random company factor to get the total loss amounts. The new two-component copula is not Archimedean and it extends the toolkit of copulas for the insurance industry.

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Tao, Zhifu, Bing Han, Ligang Zhou, and Huayou Chen. "The Novel Computational Model of Unbalanced Linguistic Variables Based on Archimedean Copula." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 26, no. 04 (2018): 601–31. http://dx.doi.org/10.1142/s0218488518500289.

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We develop a novel computation model of unbalanced linguistic variables on the basis of Archimedean copulas and corresponding co-copulas, which provides a new tool to aggregate unbalanced linguistic information. The properties of the proposed computational model are also studied. We present the concepts of weighted unbalanced Archimedean copula arithmetic aggregation operators and weighted unbalanced Archimedean copula geometric aggregation operators. The properties of these aggregation operators are further investigated. Finally, a group decision making of sensory evaluation is introduced to

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