搜索结果: 1-15 共查到“统计学 copula”相关记录18条 . 查询时间(0.046 秒)
Copula function’s concentration set and its concentrated partition
Copula function local correlation structure concentration set concentration measure
2016/1/25
The research on the local correlation structure of copula function is an attractive topic.This paper investigates bivariate copula function’s local correlation structure by defining its concentration ...
基于Copula方法的极值洪水频率与风险分析
洪水频率分析 年最大水位 Copula函数 极值分布
2013/8/21
洪灾风险分析中的一项重要内容是关于洪水发生概率（频率）的估计。以湖南省四大水系中的四个站点50多年的年最高水位数据为基础，结合常用于灾害分析中的分布模型估计出每个站点的洪水频率分布，再利用Copula函数模型得到两两水系间水位协同变化的联合分布函数，进而估计每两条河流同时发生洪水灾害的概率。
Analysis of elliptical copula correlation factor model with Kendall's tau
Elliptical copula correlation matrix factor model Kendall’s tau nuclear norm penalty oracle inequality primal-dual certificate
2013/6/14
We study a factor model for the correlation matrix $\Sigma\in\RR^{d\times d}$ of an elliptical copula. The correlations are connected to Kendall's tau and a natural estimation procedure is to plug-in ...
False Discovery Rate Control under Archimedean Copula
Clayton copula exchangeability Gumbel cop-ula linear step-up test multiple hypotheses testing,p-values
2013/6/14
We prove that the linear step-up procedure $\vp^{LSU}$ considered by Benjamini and Hochberg (1995) controls the false discovery rate (FDR) in the case of dependent $p$-values whose dependency structur...
Ensemble Copula Coupling as a Multivariate Discrete Copula Approach
multivariate discrete copula stochastic array Sklar’s theorem statistical ensemble postprocessing ensemble copula coupling
2013/6/14
In probability and statistics, copulas play important roles theoretically as well as to address a wide range of problems in various application areas. In this paper, we introduce the concept of multiv...
Parameter estimation for pair-copula constructions
copulae efficiency empirical distribution functions hierarchical construction stepwise estimation vines
2013/4/28
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its as...
Total loss estimation using copula-based regression models
dependence modeling generalized linear model number of claims claim size policy loss
2012/11/23
We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the po...
PC algorithm for Gaussian copula graphical models
Copula covariance matrix graphical model model selection multi-variate normal distribution nonparanormal distribution.
2012/9/18
The PC algorithm uses conditional independence tests for model selection in graphical modeling with acyclic directed graphs. In Gaussian mod-els, tests of conditional independence are typically based ...
本文从Spearman ρ入手，利用Spearman ρ在非线性单调变换的情况下保持不变的特点，以及与条件期望预测机制存在的非线性的关系，提出建立时变Copula的模型的新方法；通过建立时变FGM-Copula模型的实例分析表明，这种构建Copula模型的方法较好捕捉了相依机制的时变性，预测了随机变量的趋势，具有一定的优越性。
Copula representation of bivariate L-moments : A new estimation method for multiparameter 2-dimentional copula models
Copulas Dependence Multivariate L-moments Parametric estimation
2011/7/5
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting.
A semiparametric estimation of copula models based on the method of moments
Moments Copulas Dependence Parametric estimation Archimedean copulas
2011/6/20
Using the classical estimation method of moments, we propose a new semiparametric estima-
tion procedure for multi-parameter copula models. Consistency and asymptotic normality of
the obtained estim...
Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions
Statistics Theory (math.ST)
2010/12/17
Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hy...
On the covariance of the asymptotic empirical copula process
Asymptotic variance copula dependence parameter empirical process independence left-tail decreasing rank-based inference
2010/3/18
Conditions are given under which the empirical copula process associated with
a random sample from a bivariate continuous distribution has a smaller asymptotic
covariance function than the standard ...
Our article is concerned with adaptive sampling schemes for Bayesian inference that
update the proposal densities using previous iterates. We introduce a copula based
proposal density which is made ...
Efficient estimation of copula-based semiparametric Markov models
Copula geometric ergodicity nonlinear Markov models semi-parametric efficiency sieve likelihood ratio statistics sieve MLE tail dependence value-at-risk
2010/3/17
paper considers the efficient estimation of copula-based semi-
parametric strictly stationary Markov models. These models are char-
acterized by nonparametric invariant (one-dimensional marginal) di...