Juan Fernández Sánchez, Manuel Úbeda-Flores (2012)
Kybernetika
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We study a wide class of copulas which generalizes well-known families of copulas, such as the semilinear copulas. We also study corresponding results for the case of quasi-copulas.
Anna Petričková, Magda Komorníková (2012)
Kybernetika
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The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
Sebastian Fuchs, Klaus D. Schmidt (2014)
Kybernetika
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The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry,...
Vladislav Bína, Radim Jiroušek (2013)
Kybernetika
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As said by Mareš and Mesiar, necessity of aggregation of complex real inputs appears almost in any field dealing with observed (measured) real quantities (see the citation below). For aggregation of probability distributions Sklar designed his copulas as early as in 1959. But surprisingly, since that time only a very few literature have appeared dealing with possibility to aggregate several different pairwise dependencies into one multivariate copula. In the present paper this problem...
Rachele Foschi (2013)
Kybernetika
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In previous papers, evolution of dependence and ageing, for vectors of non-negative random variables, have been separately considered. Some analogies between the two evolutions emerge however in those studies. In the present paper, we propose a unified approach, based on semigroup arguments, explaining the origin of such analogies and relations among properties of stochastic dependence and ageing.