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Showing 1 to 20 of 136 for “"Copula"”.
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Supervised Classification Using Copula and Mixture Copula
… random variables. In this dissertation, we use copula densities to model class conditional distributions. Such types of densities are useful when the marginal densities of a pattern vector are not normally distributed. This type of models are also useful for a mixed discrete and continuous …
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Pairs trading: a copula approach
… alternative approach to pairs trading by use of copulas. This dissertation aims to investigate if copulas can improve the profitability of pairs trading. To achieve this aim, results of pairs trading by use of copulas are compared against those of cointegration and distance methods.
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A class of bivariate copula mappings /
… one particular mapping in the set of bivariate copulas, which allows flexible construction of new copulas and families of copulas. In particular, we suggest mapping which depends on a univariate function. We provide necessary and sufficient conditions on this univariate function so that output …
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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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Advances in Copula Estimation and Distribution Theory
… features distributional results related to copulas. Four distinct copula density estimation methodologies, including Bernstein’s polynomial approximation, are proposed and criteria for the selection of their tuning parameters are provided. These four approaches were found to produce similar …
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The Copula in Arabic: Description and Analysis
… provides a description and analysis of the copula in Arabic. More precisely, it concerns the copula in Modern Standard Arabic (MSA). First, the thesis describes the copula syntactically. This includes defining the copula in Arabic, stating strategies used to form copular sentences, …
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Copula-Based Zero-Inflated Count Time Series Models
… In this dissertation, we propose two classes of copula-based time series models for zero-inflated counts with the presence of covariates. Zero-inflated Poisson (ZIP), zero-inflated negative binomial (ZINB), and zero-inflated Conway-Maxwell-Poisson (ZICMP) distributed marginals of the counts will …
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Analysis off Dependent Discrete Choices Using Gaussian Copula
… In this dissertation we use the Gaussian copula with compound symmetric and autoregressive of order one correlation matrices to construct a general multivariate model for the joint distribution of the utilities. The induced correlations on the utilities and the choice probabilities are …
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Decision-Making with Heterogeneous Sensors - A Copula Based Approach
… heterogeneous sensors. We propose the use of copula theory for this purpose. Copula models are general descriptors of dependence. They provide a way to characterize the nonlinear functional relationships between the multiple modalities, which are otherwise difficult to formalize. The important …
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D-Vine Pair-Copula Models for Longitudinal Binary Data
… study alternatives that are based on D-vine pair-copula models. We consider both the serial dependence modeled by the first order autoregressive (AR(1)) and the equicorrelated correlation structures. Simulation results show that our model is more effective than MP model. Some real life data …
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Applications of Copula Theory and Regime Switching in Finance
… of the dependence structure, which resulted in copula models attracting attention and becoming popular over the last decade. Copulas provide greater flexibility by allowing the dependence structure to be modelled separately from marginal distributions. Furthermore, a rich class of higher …
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Copula-based Multimodal Data Fusion for Inference with Dependent Observations
… nonlinear cross-modal dependence. We apply copula based methodology to characterize this dependence.</p> <p>In distributed detection, the goal often is to minimize the probability of detection error at the fusion center (FC) based on a fixed number of observations collected by the sensors. …
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Analyzing the dependence structure of microarray data: a copula–based approach
… study of clustering dependent data by means of copula functions with particular emphasis on microarray data. Copula functions are a popular multivariate modeling tool in each field where the multivariate dependence is of great interest and their use in clustering has not been still investigated. …
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Recent Advances in Bayesian Copula Models for Mixed Data and Quantile Regression
… theoretical properties of the Bayesian Gaussian copula, and deploy these models in a variety of applications. Copula models link arbitrary univariate marginal distributions under a multivariate dependence structure to define a valid joint distribution for a random vector. By estimating the joint …
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A representative agent asset pricing model with Bayesian model averagin of copula-based densities
Esta tesis solo está en formato papel por lo que se debe consultar en la propia Biblioteca Di Tella. La consulta se hace solo bajo reserva escribiendo a serviciosbiblio@utdt.edu.
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Principal component analysis and classification of discrete and mixed feature datasets using Gaussian copula
… we proposed a model based on the Gaussian copula to perform dimensionality reduction and classification for datasets with purely discrete or mixed features. In Chapter 3, we developed a scale invariant and data contamination robust principal component analysis (PCA) for discrete datasets …
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Credit Risk Modeling and Analysis Using Copula Method and Changepoint Approach to Survival Data
… of two parts. The first part uses Gaussian Copula and Student's t Copula as the main tools to model the credit risk in securitizations and re-securitizations. The second part proposes a statistical procedure to identify changepoints in Cox model of survival data. The recent 2007-2009 …
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Modeling and Analysis of Repeated Ordinal Data Using Copula Based Likelihoods and Estimating Equation Methods
… model belong to a very general class of <em>Copula</em> models. We use the copula representation for the multivariate ordered probit model to obtain maximum likelihood estimates of the parameters. We apply the methodology in the analysis of real life data examples.</p> <p>Though likelihood …
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Visualization impacts on utility functions and multiattribute utility copula approach toward electronic product recovery techniques
… on the environment. A multiattribute utility copula approach was used in analyzing the behavior of EOL processing activities on the part of an OEM. This decision-making tool was used in order to incorporate the firm’s preferences while accounting for uncertainty with the incoming disposed …
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