Add to ORKGAbstract. The copula of a multivariate distribution is the distribution transformed to have uniform one dimensional marginals. We review a transformation of the marginals of a multivariate distribution to a standard Pareto and the resulting distribution we call the Pareto copula. Use of the Pareto copula has a certain claim to naturalness when consider-ing asymptotic limit distributions for sums, maxima and empirical processes. We discuss implications for aggregation of risk and offer some examples. 1
This study examines the Koehler and Symanovski copula function with specific marginals, such as the ...
Given a sample from a continuous multivariate distribution FF, the uniform random variates generated...
In this paper we present the extension of the copula approach to aggregation functions. In fact we w...
In this paper we present the extension of the copula approach to aggregation functions. In fact we ...
We propose a general treatment of random variables aggregation accounting for the dependence among v...
In this paper we present the extension of the copula approach to aggregation functions. In fact we w...
Copulas are mathematical objects that fully capture the dependence structure among random variables ...
Based on the method of copulas, we construct a parametric family of multivariate distribu-tions usin...
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of s...
A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and st...
Type: Theoretical project with simulation component if desired Description: Copulas describe the dep...
A copula is a function which joins or “couples ” a multivariate distribution function to its one-dim...
Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lév...
In this research we introduce a new class of multivariate probability models to the marketing litera...
A copula is a multivariate distribution, defined on the unit hypercube, which is characterized by un...
This study examines the Koehler and Symanovski copula function with specific marginals, such as the ...
Given a sample from a continuous multivariate distribution FF, the uniform random variates generated...
In this paper we present the extension of the copula approach to aggregation functions. In fact we w...
In this paper we present the extension of the copula approach to aggregation functions. In fact we ...
We propose a general treatment of random variables aggregation accounting for the dependence among v...
In this paper we present the extension of the copula approach to aggregation functions. In fact we w...
Copulas are mathematical objects that fully capture the dependence structure among random variables ...
Based on the method of copulas, we construct a parametric family of multivariate distribu-tions usin...
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of s...
A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and st...
Type: Theoretical project with simulation component if desired Description: Copulas describe the dep...
A copula is a function which joins or “couples ” a multivariate distribution function to its one-dim...
Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lév...
In this research we introduce a new class of multivariate probability models to the marketing litera...
A copula is a multivariate distribution, defined on the unit hypercube, which is characterized by un...
This study examines the Koehler and Symanovski copula function with specific marginals, such as the ...
Given a sample from a continuous multivariate distribution FF, the uniform random variates generated...
In this paper we present the extension of the copula approach to aggregation functions. In fact we w...