標(biāo)題: Titlebook: Copulae in Mathematical and Quantitative Finance; Proceedings of the W Piotr Jaworski,Fabrizio Durante,Wolfgang Karl H?rd Conference procee [打印本頁] 作者: incontestable 時間: 2025-3-21 19:58
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作者: 枯燥 時間: 2025-3-21 21:09
Strategic Planning of Spectrum and Services,listic graphical models in particular have been ignorant of the framework of copulas. At the same time, the complementing strengths of the two fields suggests the great fruitfulness of a synergy. The purpose of this paper is to survey recent copula-based constructions in the field of machine learnin作者: 矛盾心理 時間: 2025-3-22 04:05 作者: 文藝 時間: 2025-3-22 07:11 作者: Epithelium 時間: 2025-3-22 11:17 作者: 某人 時間: 2025-3-22 13:20 作者: 某人 時間: 2025-3-22 21:06
Setting Up Physical Infrastructure,nctions. These copulas are then mixed with respect to a continuous distribution resulting in a nonsingular parametric copula.The Singular Mixture Copulas we construct have a Lebesgue density and in special cases even a closed form representation. Moreover, they have positive lower and upper tail dep作者: SCORE 時間: 2025-3-22 22:53
Strategic Planning of Spectrum and Services, a norm of this random vector, and it is often used in studying heavy-tail phenomena observed in data analysis in various fields, such as finance and insurance. Multivariate regular variation can be analyzed in terms of the intensity measure or spectral measure but can also be studied by using the c作者: dearth 時間: 2025-3-23 03:27
Setting Up Physical Infrastructure,sented. Desirable statistical properties of dependent default times are introduced in an axiomatic manner and related to the unified framework. It is shown how commonly used models, stemming from quite different mathematical and economic motivations, can be translated into a multivariate frailty mod作者: Mawkish 時間: 2025-3-23 05:38
Setting Up Physical Infrastructure,), which is a multivariate analogue of the univariate generalized linear models (GLMs). A unified framework of such regression models is established with the utility of Gaussian copula, accommodating discrete, continuous and mixed vector outcomes. Both full likelihood and composite likelihood estima作者: Angiogenesis 時間: 2025-3-23 12:51
Strategic Planning of Spectrum and Services,acteristics of this particular family of copulas. We then analyze their properties in a context of multi-asset derivatives pricing, with a focus on the approximation property. We finally give details about implementation steps and provide numerical evidences to illustrate the reviewed properties.作者: pellagra 時間: 2025-3-23 14:17 作者: Adornment 時間: 2025-3-23 20:46 作者: obtuse 時間: 2025-3-24 00:42
Strategic Planning of Spectrum and Services,We propose a convolution-based approach to the estimation of nonlinear autoregressive processes. The model allows for state-dependent autocorrelation, that is different persistence of the shocks in different phases of the market and dependent innovations, that is drawn from different distributions in different phases of the market.作者: 樹上結(jié)蜜糖 時間: 2025-3-24 02:50
Strategic Planning of Spectrum and Services,In this survey we review copula-based models and methods for multivariate discrete data modeling. Advantages and disadvantages of recent contributions are summarized and a general modeling procedure is suggested in this context.作者: 桶去微染 時間: 2025-3-24 10:34
A Convolution-Based Autoregressive Process,We propose a convolution-based approach to the estimation of nonlinear autoregressive processes. The model allows for state-dependent autocorrelation, that is different persistence of the shocks in different phases of the market and dependent innovations, that is drawn from different distributions in different phases of the market.作者: 富饒 時間: 2025-3-24 11:44 作者: orthopedist 時間: 2025-3-24 15:39 作者: Rinne-Test 時間: 2025-3-24 21:28 作者: 知識分子 時間: 2025-3-25 03:12
Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives,acteristics of this particular family of copulas. We then analyze their properties in a context of multi-asset derivatives pricing, with a focus on the approximation property. We finally give details about implementation steps and provide numerical evidences to illustrate the reviewed properties.作者: 翻動 時間: 2025-3-25 06:43 作者: 討好女人 時間: 2025-3-25 08:18
Lecture Notes in Statisticshttp://image.papertrans.cn/c/image/238183.jpg作者: pester 時間: 2025-3-25 14:39 作者: GROUP 時間: 2025-3-25 19:06 作者: negotiable 時間: 2025-3-25 21:31
Strategic Planning of Spectrum and Services, when the first variable is attaining extreme values. We describe the copulas which are invariant with respect to the conditioning and study their sets of attraction. Furthermore we provide examples of the limit sets consisting of more than one element and discuss the chaotic nature of univariate conditioning.作者: 難解 時間: 2025-3-26 01:03 作者: HUMP 時間: 2025-3-26 06:53 作者: Antioxidant 時間: 2025-3-26 09:49
Copulas in Machine Learning,suggests the great fruitfulness of a synergy. The purpose of this paper is to survey recent copula-based constructions in the field of machine learning, so as to provide a stepping stone for those interested in further exploring this emerging symbiotic research.作者: 拖債 時間: 2025-3-26 15:16
An Overview of the Goodness-of-Fit Test Problem for Copulas,ng asymptotic distribution-free test statistics and the calculation of reliable .-values are discussed. Some particular cases, like convenient tests for time-dependent copulas, for Archimedean or extreme-value copulas, etc., are dealt with. Finally, the practical performances of the proposed approaches are briefly summarized.作者: Eeg332 時間: 2025-3-26 17:21
Singular Mixture Copulas,las we construct have a Lebesgue density and in special cases even a closed form representation. Moreover, they have positive lower and upper tail dependence. Because Singular Mixture Copulas are mixtures of “simple” singular copulas, they can be simulated easily.作者: Panacea 時間: 2025-3-26 21:28
Strategic Planning of Spectrum and Services,ling perspective. Measures of asymmetry and rank-based estimators thereof are discussed, along with recently proposed tests of symmetry. Several techniques for the construction of asymmetric dependence structures are critically reviewed. A hydrological data set is used for illustration purposes.作者: 不利 時間: 2025-3-27 04:19
Assessing and Modeling Asymmetry in Bivariate Continuous Data,ling perspective. Measures of asymmetry and rank-based estimators thereof are discussed, along with recently proposed tests of symmetry. Several techniques for the construction of asymmetric dependence structures are critically reviewed. A hydrological data set is used for illustration purposes.作者: amnesia 時間: 2025-3-27 07:36
0930-0325 sed financial models.Includes supplementary material: .Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained co作者: 過渡時期 時間: 2025-3-27 12:01
Strategic Planning of Spectrum and Services,suggests the great fruitfulness of a synergy. The purpose of this paper is to survey recent copula-based constructions in the field of machine learning, so as to provide a stepping stone for those interested in further exploring this emerging symbiotic research.作者: aerobic 時間: 2025-3-27 15:41 作者: 慢跑 時間: 2025-3-27 20:39 作者: 喪失 時間: 2025-3-27 23:31
Strategic Planning of Spectrum and Services,thod is based on extraction of scale-invariant extremal dependence from the intensity measure by standardizing its margins. Various examples as well as the advantages and disadvantages of the copula approach are also discussed.作者: 高深莫測 時間: 2025-3-28 05:12 作者: magenta 時間: 2025-3-28 09:29
Toward a Copula Theory for Multivariate Regular Variation,thod is based on extraction of scale-invariant extremal dependence from the intensity measure by standardizing its margins. Various examples as well as the advantages and disadvantages of the copula approach are also discussed.作者: 加入 時間: 2025-3-28 13:01 作者: venous-leak 時間: 2025-3-28 18:19
Strategic Planning of Spectrum and Services,ied intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation, and a sequential test for changes in the dependence structure. The techniques are applied in an empirical example.作者: 同時發(fā)生 時間: 2025-3-28 19:57 作者: Adj異類的 時間: 2025-3-29 00:41
Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series,ied intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation, and a sequential test for changes in the dependence structure. The techniques are applied in an empirical example.作者: 合同 時間: 2025-3-29 06:07
Vector Generalized Linear Models: A Gaussian Copula Approach,ation studies, we compare the VGLM to the popular generalized estimating equations (GEEs) approach. The simulation results indicate that the VGLMs provide more efficient inference for the regression coefficients than the GEEs. The VGLM is also illustrated via real-data examples.作者: 形容詞 時間: 2025-3-29 09:22 作者: 山頂可休息 時間: 2025-3-29 13:58 作者: modifier 時間: 2025-3-29 18:01
An Overview of the Goodness-of-Fit Test Problem for Copulas,egral transformations (PITs), on Kendall’s dependence function, etc., and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable .-values are discussed. Some particular cases, like convenient tests f作者: 厭惡 時間: 2025-3-29 21:33 作者: Aesthete 時間: 2025-3-30 00:36
Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series,ng volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the joint error term distribution, which is due to the lack of multivariate distribution functions on . defined via a copula. Maximum likelihood estimation is b作者: GLOOM 時間: 2025-3-30 04:03 作者: Adulterate 時間: 2025-3-30 08:35 作者: 小卒 時間: 2025-3-30 16:19
