Displaying similar documents to “Generalized logistic model and its orthant tail dependence”

DUCS copulas

Radko Mesiar, Monika Pekárová (2010)

Kybernetika

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Based on a recent representation of copulas invariant under univariate conditioning, a new class of copulas linked to a distortion of the identity function is introduced and studied.

Non-exchangeable random variables, Archimax copulas and their fitting to real data

Tomáš Bacigál, Vladimír Jágr, Radko Mesiar (2011)

Kybernetika

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The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.

Forecasting time series with multivariate copulas

Clarence Simard, Bruno Rémillard (2015)

Dependence Modeling

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In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the predictions evolves when changing the strength of the different possible dependencies, as well as the structure of the dependence. We also look at the impact of the marginal distributions. The impact of estimation errors on the performance of the predictions is also considered. In all the experiments, we compare predictions from our...