Dependency Measures For New Bivariate Models Based on Copula Function

2021 ◽  
Vol 10 (3) ◽  
pp. 511-526
Keyword(s):  
Copula Function ◽  
Bivariate Models

Support vector approach using data augmentation with copula function applied to load forecasting

2019 ◽  
Author(s):  
Gabriel Ribeiro ◽  
Marcos Yamasaki ◽  
Helon Vicente Hultmann Ayala ◽  
Leandro Coelho ◽  
Viviana Mariani
Keyword(s):  
Data Augmentation ◽  
Load Forecasting ◽  
Copula Function ◽  
Support Vector ◽  
Using Data ◽  
Vector Approach

scholarly journals Joint Modeling of Precipitation and Temperature Using Copula Theory for Current and Future Prediction under Climate Change Scenarios in Arid Lands (Case Study, Kerman Province, Iran)

2019 ◽  
Vol 2019 ◽  
pp. 1-15 ◽  
Author(s):  
T. Mesbahzadeh ◽  
M. M. Miglietta ◽  
M. Mirakbari ◽  
F. Soleimani Sardoo ◽  
M. Abdolhoseini
Keyword(s):  
Climate Change ◽  
Goodness Of Fit ◽  
Joint Modeling ◽  
Copula Function ◽  
Gaussian Copula ◽  
Climate Change Scenarios ◽  
Climatic Parameters ◽  
Goodness Of Fit Test ◽  
Copula Theory ◽  
Precipitation And Temperature

Precipitation and temperature are very important climatic parameters as their changes may affect life conditions. Therefore, predicting temporal trends of precipitation and temperature is very useful for societal and urban planning. In this research, in order to study the future trends in precipitation and temperature, we have applied scenarios of the fifth assessment report of IPCC. The results suggest that both parameters will be increasing in the studied area (Iran) in future. Since there is interdependence between these two climatic parameters, the independent analysis of the two fields will generate errors in the interpretation of model simulations. Therefore, in this study, copula theory was used for joint modeling of precipitation and temperature under climate change scenarios. By the joint distribution, we can find the structure of interdependence of precipitation and temperature in current and future under climate change conditions, which can assist in the risk assessment of extreme hydrological and meteorological events. Based on the results of goodness of fit test, the Frank copula function was selected for modeling of recorded and constructed data under RCP2.6 scenario and the Gaussian copula function was used for joint modeling of the constructed data under the RCP4.5 and RCP8.5 scenarios.

ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS

2006 ◽  
Vol 05 (03) ◽  
pp. 483-493 ◽  
Author(s):  
PING LI ◽  
HOUSHENG CHEN ◽  
XIAOTIE DENG ◽  
SHUNMING ZHANG
Keyword(s):  
Credit Derivatives ◽  
Copula Function ◽  
Dependence Structure ◽  
Default Correlation ◽  
Specific Kind ◽  
Copula Functions ◽  
Recovery Rates ◽  
Collateralized Debt Obligation ◽  
Collateralized Debt ◽  
Debt Obligation

Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative — collateralized debt obligation (CDO). We also analyze two important factors influencing the pricing of multi-name credit derivatives, recovery rates and copula function. Finally, we apply Clayton copula, in a numerical example, to simulate default times taking specific underlying recovery rates and average recovery rates, then price the tranches of a given CDO and then analyze the results.

The copula function of pronouns

Lingua ◽  
1983 ◽  
Vol 59 (2-3) ◽  
pp. 197-207 ◽  
Author(s):  
Mushira Eid
Keyword(s):  
Copula Function

scholarly journals Bivariate Nonlinear Diffusion Degradation Process Modeling via Copula and MCMC

2014 ◽  
Vol 2014 ◽  
pp. 1-11 ◽  
Author(s):  
Huibing Hao ◽  
Chun Su
Keyword(s):  
Nonlinear Diffusion ◽  
Goodness Of Fit ◽  
Real Data ◽  
Degradation Process ◽  
Copula Function ◽  
Assessment Method ◽  
Unknown Parameters ◽  
Degradation Data ◽  
Proposed Model ◽  
Frank Copula

A novel reliability assessment method for degradation product with two dependent performance characteristics (PCs) is proposed, which is different from existing work that only utilized one dimensional degradation data. In this model, the dependence of two PCs is described by the Frank copula function, and each PC is governed by a random effected nonlinear diffusion process where random effects capture the unit to unit differences. Considering that the model is so complicated and analytically intractable, Markov Chain Monte Carlo (MCMC) method is used to estimate the unknown parameters. A numerical example about LED lamp is given to demonstrate the usefulness and validity of the proposed model and method. Numerical results show that the random effected nonlinear diffusion model is very useful by checking the goodness of fit of the real data, and ignoring the dependence between PCs may result in different reliability conclusion.

scholarly journals Distributed Joint Source-Channel Coding With Copula-Function-Based Correlation Modeling for Wireless Sensors Measuring Temperature

2015 ◽  
Vol 15 (8) ◽  
pp. 4496-4507 ◽  
Author(s):  
Nikos Deligiannis ◽  
Evangelos Zimos ◽  
Dragos Mihai Ofrim ◽  
Yiannis Andreopoulos ◽  
Adrian Munteanu
Keyword(s):  
Channel Coding ◽  
Wireless Sensors ◽  
Copula Function ◽  
Joint Source Channel Coding ◽  
Source Channel Coding

A bivariate control chart based on copula function

2011 ◽  
Author(s):  
Amir Afshin Fatahi ◽  
Pershang Dokouhaki ◽  
Babak Farhang Moghaddam
Keyword(s):  
Control Chart ◽  
Copula Function
Sign in / Sign up

Export Citation Format

Share Document