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Showing 1 to 6 of 6 for “"Archimedean copula"”.
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Modelling of vector MEM with hierarchical Archimedean copula
… basierend auf einer hierarchisch Archimedischen Copula (HAC), in einem zweistufigen Verfahren zu schätzen: MEMs werden an die eindimensionalen Prozesse kalibriert um die Residuen zu erhalten, deren Abhängigkeiten durch eine HAC geschätzt werden. Die empirische Analyse unterstützt die Hypothese …
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Multivariate hydrological frequency analysis and risk mapping
… hydrologic and hydraulic variables. The copula methodology is applied to perform multivariate frequency analysis of rainfall, flood, low-flow, water quality, and channel flow, using data from the Amite river basin in Louisiana. And finally, the risk methodology is applied to analyze flood …
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Probabilistic renewable energy modelling in South Africa
… multivariate extreme value (CMEV) and copula modes. Due to the nonlinearity and different structure of the dependence on GHI against temperature and RH, unlike previous literature, we use three Archimedean copula functions: Clayton, Frank and Gumbel, to model the dependence structure. …
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Modelling interdependence in a pair of heating oil and natural gas futures curves
… models based on hierarchical Archimedian copula (HAC-DCC). The conducted analysis allowed to forecast the distribution of the returns of any portfolios composed of the available futures contracts for short time periods. As shown in the study, value-at-risk estimates derived from the …
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Copula-Based Multivariate Hydrologic Frequency Analysis
… to be from the same distribution family. The copula method is a newly emerging approach for deriving multivariate distributions which overcomes this limitation. Use of copula method in hydrological applications has begun only recently and ascertaining the applicability of different copulas for …
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Archimedeanity
Copulae sind in der multivariaten Statistik und Finanzapplikationen von großer Bedeutung. Eine wichtige Copula-Famlie sind die Archimedischen Copulae. Für parametrische Copulafamilien gibt es bereits eine Fülle an Tests zur Anpassungsgüte. Die Hypothese, dass eine Copula eine beliebige …