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Letteratura scientifica selezionata sul tema "Copulas"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 26 ottobre 2024

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Articoli di riviste sul tema "Copulas"

Chiravate, Boonjeera. "Aspectual Properties and Polarity-Sensitivity of Copulas pen1 and khʉʉ1 in Thai". MANUSYA 15, n. 1 (2012): 1–18. http://dx.doi.org/10.1163/26659077-01501001.

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‘Pen1’ and ‘khʉʉ1’ in Thai have traditionally been regarded as copular verbs comparable to ‘be’ in English. Appearing in a copulative sentence, the two Thai copula verbs, however, differ in polarity-sensitivity. The present study demonstrates that the difference in polarity-sensitivity of the two Thai copulas cannot be accounted for within the theory of polarity-sensitive items previously proposed. Investigating the aspectual properties of the two Thai copulas in comparison with those of English copula, this study suggests that an explanation for the difference in polarity-sensitivity of the two Thai copulas might involve their aspectual properties. Contributing to the study of aspect and polarity-sensitivity, the present study reveals differences between Thai and English copulas and provides additional support for the idea that the macro-category of so-called copular verbs is too vague to describe cross-linguistic variation.

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Welch, Nicholas, e Marie-Louise Bouvier White. "Copular clauses in Dene languages: Argument structure and interpretation". Canadian Journal of Linguistics/Revue canadienne de linguistique 66, n. 2 (giugno 2021): 223–54. http://dx.doi.org/10.1017/cnj.2021.12.

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AbstractA widely accepted assumption in both the syntactic and semantic literature is that copulas lack semantic content. A consequent question is how to explain the existence in certain languages of two copular verbs that give rise to different interpretations. Such is the case in numerous languages of the Dene family (formerly known as Athapaskan). We explain this situation with the hypothesis that the copulas realize an underlying three-copula system differing in argument structure. Differences between the interpretations of copular clauses in these languages originate in the compositional semantics of these structures, not in any lexical semantic differences.This hypothesis successfully predicts the distributional differences between the surface forms of the Dene copulas, such as their compatibility with adjuncts of time and intentionality, interactions with accusative case, and semantic lifetime effects.

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Mikulskas, Rolandas. "Descriptive problems in defining the category of copulas: syntactic and semantic distribution of the ingressive copulas VIRSTI and TAPTI". Lietuvių kalba, n. 12 (15 dicembre 2018): 1–63. http://dx.doi.org/10.15388/lk.2018.22519.

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Abstract (sommario):

Cognitive Grammar (Langacker 1991) allows for a unified account of copular constructions. In this framework, all types of copular constructions can be seen as the different instantiations of a single archetype of statements of identity between two entities (Mikulskas 2017). Radical Construction Grammar, the framework adopted in this article, also allows for a unified account of copular verbs, as it views both so-called ‘semi-copulas’ and typical copulas as members of a single category of copulas as long as each of them fills the same slot between the thematic argument and the predicative complement in a copular construction. According to Radical Construction Grammar, an independent word class ‘copula’ does not exist. “Instead, verbs in a particular language can be labelled ‘copular’ if they have the appropriate semantics and morphosyntax to fit in the so-called ‘copular slot’ of a copular construction” (Petré 2012: 30). From this theoretical perspective, the term ‘copula’ applies only derivatively. Thus, syntactically, copular verbs have a linking function. Additionally, some of them express various aspectual meanings and can be seen as aspectual variants of the typical copula “be”. For instance, the Lithuanian verbs tapti ‘become’, virsti ‘turn into’, darytis/pasidaryti ‘become’ (lit. ‘make oneself’) and, formerly, stotis/pastoti ‘become’ (lit. ‘stand up’), mainly in the Simple Past and Future tenses, when used in copular constructions, express ingressive aspect of the change event. These verbs, used in different constructions, such as existential, locomotional etc., retain their original meaning. Importantly, even when they are used in copular constructions, while being first of all linking verbs and aspectual markers, they can still have different syntactic and semantic properties. The latter are the outcome of their primary meanings inherited from their source constructions (‘backward pull’; Traugott 2008). That said, it is nevertheless clear that each of these verbs is in a different stage on its way to grammaticalization and each accommodated to copular function in a varying degree. So, a descriptivist encounters a practical problem: which of the above-mentioned verbal lexemes qualify as ‘real’ copulas and which do not? Are such verbs as augti ‘grow’ or eiti ‘go’, which can perform copular function in certain restricted contexts, on a par with more typical copulas such as tapti or virsti? Some Lithuanian researchers even doubt if the verb lexeme virsti can be labelled ‘copular’. To provide for this descriptive need a definition of the category of copulas is elaborated in the first two chapters of the article. Complementing the constructional requirement of filling the slot between the thematic argument and the predicative complement, two additional criteria are suggested. First, the postcopular nominal, as the result of reanalysis of the source construction in the course of grammaticalization, must become coreferential with the subject nominal. This is a necessary but not sufficient condition, as it does not differentiate between primary and secondary predicatives. Secondly, the types of complement of the verb must be unpredictable from its semantics or, in other words, the copular verb must be desemanticized to a sufficient degree to be capable of selecting its complements from a wide array of semantic and syntactic types (that is, NP, ADJ, PP). So the question whether to include a concrete verb lexeme into the class of copulas is mainly reduced investigating the semantics of its complements (or the productivity of its complementation). In the second two chapters of the article a contrastive study of the syntactic and semantic properties of the copular verbs virsti vs. tapti is presented in order to prove that the corresponding copular constructions featuring these verbs are different instantiations of the more abstract ingressive-aspect-expressing construction. A quantitative analysis of data in the Corpus of Modern Lithuanian reveals various relevant points in the parallel development and interaction of these verbs and in their coexistence in present-day Lithuanian: how they divide between them the job of expressing ingressive aspect in the profiled change events while at the same time competing with each other in some contexts. Additionally, some relevant facts of the usage of the copulas under discussion were checked in the Old Lithuanian Corpus and in the Dictionary of the Lithuanian Language. The analysis allows us to draw some important conclusions concerning the coexsistence of the two verbs under discussion and their categorial status in modern Lithuanian. First of all, the verb virsti can reasonably be seen as an aspectual variety of the copula būti ‘be’, on a par with the more grammaticalized copula tapti. The verb virsti, when used in copular constructions, is sufficiently desemanticized: one may claim that a sufficient number of copular constructions featuring the verb virsti have nearly lost their touch with their inherent semantics. More specifically, half of the analysed cases of copular constructions with this verb have already abandoned their tendency – inherited from the locomotional source construction (designating the overturning of a vertical object ) – to denote negatively evaluated change events. Though the verb virsti was originally used mainly in the inclusive type of copular constructions, it is now, on the analogy of copular constructions featuring the verb tapti, increasingly used in the ascriptive type as well: in more than 4% of the analysed instances the copula virsti selects adjectival predicative complements. Sporadically, the copula virsti is attested even in the specificational type of copular constructions (in this type of sentences the usage of the copula tapti is unrestricted). Also in modern Lithuanian the copula virsti has borrowed from the copular constructions featuring tapti the morphosyntactic coding of its complements by the instrumental instead of the original coding with PP. A thorough study of the semantic distribution of the copulas virsti and tapti in the Corpus of Modern Lithuanian shows that they have more or less divided between them the semantic space of aspectual expression according to the meanings they have inherited from their source constructions, and to their resulting aspectual potential. The constructions containing the copula virsti profile, in most cases, a radical transformation of a subject referent proceeding in an uncontrolled and incremental way. Such transformations include changes of physical elements, changes in a person’s mood and character, or spell-induced changes in fairy tales. Aspectually, such copular constructions have the profile of an accomplishment. Conversely, the constructions featuring the copula tapti presuppose a subject referent in control of the profiled change event. The result of the change is usually a new social status, a new profession or office held by the subject referent. In some cases the change profiled is only a projection of some relevant features of the subject referent into the cognitive domain of some speech community: the subject referent of the sentence, because of its social behaviour or personal features, is declared by the speaker to be a model or a guide for other people. The aspectual profile of such constructions is typically that of an achievement as in most cases they designate an instantaneous ingression of the subject referent into its new status. Nevertheless, the quantitative analysis of the corpus data shows that in about 13% of the copular constructions analysed the preterite verbal forms virto and tapo can be used interchangeably. This fact, considered together with the empirically attested facts of mutual interaction of the corresponding copular constructions, allows us to treat the constructions featuring these copular forms as two different instantiations of a single copular construction expressing the ingressive aspect of the profiled change event.

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Fuchs, Sebastian, e Yann McCord. "On the lower bound of Spearman’s footrule". Dependence Modeling 7, n. 1 (11 maggio 2019): 126–32. http://dx.doi.org/10.1515/demo-2019-0005.

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AbstractÚbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is sharp in the case where d = 2. The present paper provides characterizations of the copulas attaining the lower bound of multivariate Spearman’s footrule in terms of the copula measure but also via the copula’s diagonal section.

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Petré,, Peter. "General productivity: How become waxed and wax became a copula". Cognitive Linguistics 23, n. 1 (febbraio 2012): 27–65. http://dx.doi.org/10.1515/cog-2012-0002.

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AbstractThis article provides an analysis—within the framework of Radical Construction Grammar—of how become developed into a copula ‘become’ out of an original sense ‘arrive’, and wax, originally ‘grow’, also came to be used as a copula ‘become’. Importantly, it explains why these verbs successfully became fully productive copulas in a very short period of time. It is argued that this happened after a pre-copular stage had reached a cognitive threshold value. The occurrence of this threshold is related to the fact that the copular constructions featuring become and wax were not the end result of a single diachronic lineage of constructions (i.e. one construction developed out of another one, one at a time). Instead, the copularization of these verbs was the result of an interaction between lineages of constructions, belonging to two groups: (i) constructions involving become or wax, which gradually changed and interacted with each other; (ii) constructions involving already existing copulas, notably weorđan ‘become’, which provided a generally productive analog upon which the newly emerging copulas could graft. Generally, the article calls attention to the importance of multiple source constructions and thresholds in understanding grammaticalization processes and productivity.

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Alanazi, Fadhah Amer. "Truncating Regular Vine Copula Based on Mutual Information: An Efficient Parsimonious Model for High-Dimensional Data". Mathematical Problems in Engineering 2021 (20 ottobre 2021): 1–11. http://dx.doi.org/10.1155/2021/4347957.

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Based on (different) bivariate copulas as simple building blocks to model complex multivariate dependency patterns, vine copulas provide flexible multivariate models. They, however, lose their flexibility with dimensions. Attempts have been existing to reduce the model complexity by searching for a subclass of truncation vine copulas, of which only a limited number of vine trees are estimated. However, they are either time-consuming or model-dependent or require additional computational efforts. Inspired by the relationship between copula’s parameters (and the corresponding Kendall’s tau) and the mutual information on the one side and the mutual information and copula entropy on another side, this study proposed a novel truncation vine copula model using only mutual information values among variables. This newly proposed truncation method is evaluated in simulation studies and a real application of financial returns dataset. The simulated and real studies show that the model is sufficiently good to find the most appropriate truncation level with a good fit of a given data.

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Xie, Jiehua, Jun Fang, Jingping Yang e Lan Bu. "MULTIVARIATE COMPOSITE COPULAS". ASTIN Bulletin 52, n. 1 (3 novembre 2021): 145–84. http://dx.doi.org/10.1017/asb.2021.30.

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AbstractIn this paper, we present a method for generating a copula by composing two arbitrary n-dimensional copulas via a vector of bivariate functions, where the resulting copula is named as the multivariate composite copula. A necessary and sufficient condition on the vector guaranteeing the composite function to be a copula is given, and a general approach to construct the vector satisfying this necessary and sufficient condition via bivariate copulas is provided. The multivariate composite copula proposes a new framework for the construction of flexible multivariate copula from existing ones, and it also includes some known classes of copulas. It is shown that the multivariate composite copula has a clear probability structure, and it satisfies the characteristic of uniform convergence as well as the reproduction property for its component copulas. Some properties of multivariate composite copulas are discussed. Finally, numerical illustrations and an empirical example on financial data are provided to show the advantages of the multivariate composite copula, especially in capturing the tail dependence.

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Aldhufairi, Fadal Abdullah-A., Ranadeera G. M. Samanthi e Jungsywan H. Sepanski. "New Families of Bivariate Copulas via Unit Lomax Distortion". Risks 8, n. 4 (14 ottobre 2020): 106. http://dx.doi.org/10.3390/risks8040106.

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This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval. Existing copulas play the role of the base copulas that are distorted into new families of copulas with additional parameters, allowing more flexibility and better fit to data. We present general forms for the new bivariate copula function and its conditional and density distributions. The properties of the new family of the unit-Lomax induced copulas, including the tail behaviors, limiting cases in parameters, Kendall’s tau, and concordance order, are investigated for cases when the base copulas are Archimedean, such as the Clayton, Gumbel, and Frank copulas. An empirical application of the proposed copula model is presented. The unit-Lomax distorted copula models outperform the base copulas.

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Edwards, H. H., P. Mikusiński e M. D. Taylor. "Measures of concordance determined byD4-invariant copulas". International Journal of Mathematics and Mathematical Sciences 2004, n. 70 (2004): 3867–75. http://dx.doi.org/10.1155/s016117120440355x.

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A continuous random vector(X,Y)uniquely determines a copulaC:[0,1]2→[0,1]such that when the distribution functions ofXandYare properly composed intoC, the joint distribution function of(X,Y)results. A copula is said to beD4-invariant if its mass distribution is invariant with respect to the symmetries of the unit square. AD4-invariant copula leads naturally to a family of measures of concordance having a particular form, and all copulas generating this family areD4-invariant. The construction examined here includes Spearman’s rho and Gini’s measure of association as special cases.

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Aminullah, Salsabila Zahra, Mila Novita e Ida Fithriani. "Vine Copula Model: Application to Chemical Elements in Water Samples". Proceedings of The International Conference on Data Science and Official Statistics 2023, n. 1 (29 dicembre 2023): 572–85. http://dx.doi.org/10.34123/icdsos.v2023i1.346.

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Copula can link the bivariate distribution function with marginal distribution functions without requiring specific information about the interdependence among random variables. There are several types of copulas, such as elliptical copulas, Archimedean copulas, and extreme value copulas. However, in multivariate modeling, each type of copula has limitations in modeling complex dependence structures in terms of symmetry and tail dependence properties. The class of vine copulas overcomes these limitations by constructing multivariate models using bivariate copulas in a tree-like structure. The bivariate copulas used in this study include the Clayton, Gumbel, Frank, Gaussian, and Student's t copula families. This study discusses the construction of vine copula models, parameter estimation, and their applications. The construction of vine copulas is done through the decomposition of conditional probability density functions and substituting bivariate copula density functions into the decomposition results. The data used in the study is the logarithm of the concentration of chemical elements in water samples in Colorado. The parameter estimation method used is pseudo-maximum likelihood with sequential estimation. Model selection is then performed using the Akaike information criterion (AIC) to determine the most suitable model. The results indicate that Caesium and Titanium have a dependency relationship with Scandium. Moreover, Scandium and Titanium exhibit the strongest dependence compared to other variable pairs.

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Più fonti

Tesi sul tema "Copulas"

Lauterbach, Dominic [Verfasser]. "Singular Mixture Copulas - A Geometric Method of Constructing Copulas / Dominic Lauterbach". München : Verlag Dr. Hut, 2014. http://d-nb.info/1052375359/34.

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Blom, Joakim, e Joakim Wargclou. "Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization". Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-124634.

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Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. Although MPT has gained popularity over the years it has also been criticized for several theoretical and empirical shortcomings such as using variance as a measure of risk, measuring the dependence with linear correlation and assuming that returns are normally distributed when in fact empirical data suggests otherwise. When moving away from the assumption that returns are elliptical distributed, for example normally distributed, we can not use linear correlation as a measure of dependence in an accurate way. Copulas are a flexible tool for modeling dependence of random variables and enable us to separate the marginals from any joint distribution in order to extract the dependence structure. The objective of this paper was to examine the applicability of a copula-CVaR framework in portfolio optimization compared to the traditional MPT. Further, we studied how the presence of memory, when calibrating the copulas, affects portfolio optimization. The marginals for the copula based portfolios were constructed using Extreme Value Theory and the market risk was measured by Conditional Value at Risk. We implemented a dynamic investing strategy where the portfolios were optimized on a monthly basis with two different length of rolling calibration windows. The portfolios were backtested during a sample period from 2000-2016 and compared against two benchmarks; Markowitz portfolio based on normally distributed returns and an equally weighted, non optimized portfolio. The results demonstrated that portfolio optimization is often preferred compared to choosing an equally weighted portfolio. However, the results also indicated that the copula based portfolios do not always beat the traditional Markowitz portfolio. Furthermore, the results indicated that the choice of length of calibration window affects the selected portfolios and consequently also the performance. This result was supported both by the performance metrics and the stability of the estimated copula parameters.

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Schmitz, Volker. "Copulas and stochastic processes". [S.l.] : [s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=972691669.

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Zeng, Xuexing. "Copulas for image processing". Thesis, University of Strathclyde, 2010. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=14336.

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Mazzoli, Maria. "Copulas in Nigerian Pidgin". Doctoral thesis, Università degli studi di Padova, 2013. http://hdl.handle.net/11577/3422599.

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In this work I describe the copular system of Nigerian Pidgin (NigP), a pidgin/creole language spoken in Nigeria. I restricted the analysis to the modern Western metropolitan variety. I built the present work upon both corpus occurrences and grammaticality judgments and, as I explain in Chapter 2, the spoken corpus of NigP was collected during field research in Lagos in 2007; later, I added to this material a sample of written NigP texts. This combined corpus counts about 100.000 words and is accessible in the CD (Appendix A-CD and B-CD). In 2012 I conducted a prosodic experiment in collaboration with the Paduan CNR on the tonal realisation of DE in the spoken production of two speakers from Benin City. This elicited material is also available in Appendix C-CD. I divided the space covered by copulas in NigP into three semantic domains: (1) identification/ascription, (2) location/existence, and (3) attribution. The choice of the copula in NigP is mainly grounded on the syntactic nature of the complement. Thus, the copulas be and na govern nominal complements in identificational and ascriptive contexts, the copula de governs locative arguments or displays intransitively in existential contexts, and the attributive copula de is inserted in the verb slot before verbal property item if certain conditions are met. I deal with these issues in the three research chapters (4, 5 and 6 respectively). The main aim was to attest and explain the variation encountered in each domain. In Chapter 4 I explain that the focus introducer na has been reanalysed as a copula in identificational and ascriptive contexts. In fact, the copular constructions with be and na entail two different pragmatic and syntactic encodings of their arguments, which explains the perfect complementary distribution of the two items. In Chapter 5 I deal with the lexical item DE, which encompasses two grammatical categories: existential/locative copula and imperfective aspect. Speakers realise the difference between the two by means of tone, as the results of the prosodic experiment consistently confirmed. Attributive contexts are not always copular due to the verbal nature of property items, as I claim in Chapter 6. The insertion of the copula de is governed by diverse syntactic and semantic factors. Also, the prosodic experiment conducted on the tonal realisation of DE allowed attesting the fluctuating aspectual character (stative/non-stative) of property items in NigP and, consequently, their occurrence with both the high-toned copula de and the low-toned imperfective marker dè.
Questo lavoro descrive il sistema delle copule in Nigerian Pidgin (NigP), una lingua pidgin/creola parlata in Nigeria. Ho ristretto l’analisi alla varietà odierna parlata in contesti metropolitani nell’Ovest del paese. Le fonti dei dati sono le occorrenze del corpus e i giudizi di grammaticalità forniti dagli informatori. Come spiego nel Capitolo 2, il corpus parlato di NigP è stato registrato durante una ricerca sul campo nella città di Lagos mentre in seguito ho aggiunto a questi dati alcuni esempi di produzioni scritte di NigP. L’intero corpus è consultabile sul CD allegato (Appendici A-CD e B-CD). Nel 2012 ho condotto un esperimento prosodico in collaborazione con il CNR di Padova sulla realizzazione tonale dell’elemento DE sulla base della produzione orale di due parlanti originarie di Benin City. Anche questo materiale elicitato è disponibile su CD (Appendice C-CD). Ho diviso lo spazio semantico coperto dalle copule in NigP in tre macro-aree: (1) identificazione/ascrizione, (2) locazione/esistenza, e (3) attribuzione. La scelta della copula in NigP è basata sulla natura sintattica del complemento. Infatti, le copula be e na reggono complementi nominali nei contesti identificazionali e ascrittivi, la copula de regge complementi locativi o si trova come esistenziale intransitivo, e la copula attributiva de può essere inserita prima dei lessemi (verbali) che esprimono la proprietà se si danno alcune condizioni. Affronto questi temi nei tre capitoli di ricerca (rispettivamente il 4, 5 e 6). Lo scopo principale era di descrivere e spiegare la variazione che si trova in ciascuna macro-area semantica. Nel Capitolo 4 spiego come l’introduttore di focus na sia stato rianalizzato come copula in contesti identificazionali e ascrittivi. Infatti le copule be e na comportano due diverse codifiche sintattiche e pragmatiche dei loro argomenti e questo spiega la perfetta distribuzione complementare dei due elementi. Nel Capitolo 5 descrivo l’elemento lessicale DE, che comprende due categorie grammaticali: copula esistenziale/locativa e aspettuale imperfettivo. La differenza tra le due è realizzata dai parlanti grazie ad una distinzione tonale, come hanno dimostrato i risultati dell’esperimento prosodico. I contesti attributivi non sono sempre copulari perché i lessemi che esprimono proprietà in NgP sono verbali, come sostengo nel Capitolo 6. L’inserzione della copula de è governata da diversi fattori sintattici e pragmatici. Inoltre, l’esperimento prosodico sulla realizzazione tonale di DE ha permesso di attestare l’oscillazione aspettuale di questi elementi verbali esprimenti una proprietà (stativo/non-stativo) e, di conseguenza, la loro occorrenza sia con la copula de (tono alto) che con il marcatore preverbale imperfettivo dè (tono basso).

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Harder, Michael [Verfasser]. "Exchangeability of copulas / Michael Harder". Ulm : Universität Ulm, 2016. http://d-nb.info/1106329910/34.

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Kakouris, Iakovos. "Applications of copulas in optimisation". Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/33163.

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The methods for modelling uncertainty and assessing the risk of financial markets were placed under scrutiny after the 2008 crisis. To protect against the worst possible scenario, in a problem of asset allocation, robust optimisation is required. Still, within this framework, assumptions about the uncertainty set have to be made. In our work, we expand the possible options for describing uncertainty sets, through the use of copulas. Copulas are a useful tool for describing uncertainty because of the modelling flexibility that they provide. They are able to easily describe asymmetric dependence structures and tail risk. Both are vital for emulating the financial markets behaviour, during periods of extreme shocks and comovements. Also, copulas are associated with robust measures of dependence. We introduce copulas into the robust optimisation framework by following two different approaches. At first, we derive a Worst Case Conditional Value at Risk optimisation problem, in which the uncertainty set consists of a selection of copulas. We formulate the problem into a convex optimisation problem. The advantages of such a model are supported by numerical examples using real data. In the second approach, copulas are used as means for creating non-symmetric, convex uncertainty sets, in the form of domains. We present examples where these sets can be used in a robust optimisation problem.

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Viola, Márcio Luis Lanfredi 1978. "Teoria de valores extremos e copulas : distribuição valor extremo generalizada e copulas arquimedianas generalizadas trivariadas". [s.n.], 2006. http://repositorio.unicamp.br/jspui/handle/REPOSIP/306675.

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Orientadores: Veronica Andrea Gonzales-Lopez, Laura Leticia Ramos Rifo
Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica
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Resumo: Sob a ótica da Teoria de Cópulas, a modelagem multidimensional pode ser considerada decorrente de dois processos: estimação das funções de distribuição acumulada marginais e modelagem de uma estrutura de dependência multidimensional que age sobre tais funções de distribuição marginais, sendo esta última, denominada cópula. Neste trabalho, as funções de distribuição acumulada marginais de interesse correspondem à função de distribuição acumulada do máximo de uma variável aleatória e, consequentemente, a Teoria de Valores Extremos apresenta-se como uma alternativa natural para a modelagem das distribuições marginais. Nesta dissertação, serão estudados os tipos de dependência entre variáveis aleatórias, a construção e implementação de modelos de Teoria de Cópulas assim como, os resultados básicos de convergência utilizados na Teoria de Valores Extremos. Sob o escopo da Teoria de Valores Extremos, os métodos de estimação pontual de Máxima Verossimilhança e L-momentos serão comparados através de algumas simulações e, adicionalmente, serão abordadas as condições que asseguram a validade das propriedades assintóticas do Método de Máxima Verossimilhança bem como as principais propriedades de ambos os métodos citados. As teorias citadas serão aplicadas no contexto de Lingüística na modelagem multidimensional de características do sinal acústico observadas em regiões de baixa, média e alta freqüência de frases das línguas inglesa e francesa
Abstract: In the copula theory we can interpret a multidimensional distribution as a result of two processes, namely, marginal cumulative distribution function estimation and dependence structure estimation. The latter, called copula, is employed to aggregate the marginal distributions. In this work, the marginal distributions correspond to the maximum value of random variables. Thus, the extreme value theory, in particular the generalized extreme value distribution, is a natural way to model the marginal distribution. Some theoretical aspects will be studied in order to obtain knowledge the principal results of concerning the convergence in distribution associated with maximum likelihood estimation and L-moments estimation. This strategy is essential because the generalized extreme value distribution represents a nonregular case. Some simulation were performed in order to compare the behavior of the method. We will also take into account trivariate copula models such as Kimeldorf and Sampson model and Gumbel model. We will use maximum likelihood method for the point estimation in copula models. Finally, we will apply extreme value theory and copula model in a linguistic problem. Preciselly, we will consider signal coming from the three different frequence classes modeled both English and French languages
Mestrado
Mestre em Estatística

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Krupskii, Pavel. "Structured factor copulas and tail inference". Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/48390.

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In this dissertation we propose factor copula models where dependence is modeled via one or several common factors. These are general conditional independence models for $d$ observed variables, in terms of $p$ latent variables and the classical multivariate normal model with a correlation matrix having a factor structure is a special case. We also propose and investigate dependence properties of the extended models that we call structured factor copula models. The extended models are suitable for modeling large data sets when variables can be split into non-overlapping groups such that there is homogeneous dependence within each group. The models allow for different types of dependence structure including tail dependence and asymmetry. With appropriate numerical methods, efficient estimation of dependence parameters is possible for data sets with over 100 variables. The choice of copula is essential in the models to get correct inferences in the tails. We propose lower and upper tail-weighted bivariate measures of dependence as additional scalar measures to distinguish bivariate copulas with roughly the same overall monotone dependence. These measures allow the efficient estimation of strength of dependence in the joint tails and can be used as a guide for selection of bivariate linking copulas in factor copula models as well as for assessing the adequacy of fit of multivariate copula models. We apply the structured factor copula models to analyze financial data sets, and compare with other copula models for tail inference. Using model-based interval estimates, we find that some commonly used risk measures may not be well discriminated by copula models, but tail-weighted dependence measures can discriminate copula models with different dependence and tail properties.
Science, Faculty of
Statistics, Department of
Graduate

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Schmitz, Volker [Verfasser]. "Copulas and Stochastic Processes / Volker Schmitz". Aachen : Shaker, 2003. http://d-nb.info/1179023064/34.

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Libri sul tema "Copulas"

Górecki, Jan, e Ostap Okhrin. Hierarchical Archimedean Copulas. Cham: Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-56337-9.

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Nelsen, Roger B. An Introduction to Copulas. New York, NY: Springer New York, 1999. http://dx.doi.org/10.1007/978-1-4757-3076-0.

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Nelsen, Roger B. An introduction to copulas. 2^a ed. New York, NY: Springer, 2004.

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Nelsen, Roger B. An introduction to copulas. New York: Springer, 1999.

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Mai, Jan-Frederik, e Matthias Scherer. Financial Engineering with Copulas Explained. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137346315.

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Schröter, Klaus J. Modellierung von Abhängigkeitsstrukturen durch Copulas. Berlin, Heidelberg: Springer Berlin Heidelberg, 2022. http://dx.doi.org/10.1007/978-3-662-65469-9.

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Alexander, Lipton, e Rennie Andrew 1968-, a cura di. Credit correlation: Life after copulas. New Jersey: World Scientific, 2008.

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Alexander, Lipton, e Rennie Andrew 1968-, a cura di. Credit correlation: Life after copulas. New Jersey: World Scientific, 2008.

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Úbeda Flores, Manuel, Enrique de Amo Artero, Fabrizio Durante e Juan Fernández Sánchez, a cura di. Copulas and Dependence Models with Applications. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-64221-5.

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Czado, Claudia. Analyzing Dependent Data with Vine Copulas. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-13785-4.

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Capitoli di libri sul tema "Copulas"

Okubo, Wataru, e Hiroki Nomoto. "Chapter 9. A null stem analysis of Persian copular verbs". In Advances in Iranian Linguistics II, 231–62. Amsterdam: John Benjamins Publishing Company, 2023. http://dx.doi.org/10.1075/cilt.361.09oku.

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Traditional grammars of Persian recognize two copular series for the affirmative indicative present tense, which we call the independent copulas and dependent copulas. The former has been considered as a full verb whereas the latter has been described as an enclitic. This paper explores the syntactic and phonological properties of the two copular series by looking into cases in which only one form is grammatical. We propose that the dependent copulas are not enclitics but have the same internal structure as the independent copulas, consisting of a null verbal stem and a person inflectional suffix. Through examinations of the syntactic operations of A-bar movement via association with an enclitic focus particle and ellipsis of the complement, as well as stress assignment in copular constructions, we demonstrate that nonparallel grammatical judgments arise from unsuccessful stress assignment, which results from the absence of overt material in the complement. This work contributes a new look at the copular system in Persian and beyond, which has not been extensively investigated in the literature.

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Hofert, Marius, Ivan Kojadinovic, Martin Mächler e Jun Yan. "Copulas". In Elements of Copula Modeling with R, 9–79. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-89635-9_2.

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Brockhaus, Oliver. "Copulas". In Equity Derivatives and Hybrids, 128–43. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137349491_9.

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Trivedi, Pravin K. "Copulas". In The New Palgrave Dictionary of Economics, 1–4. London: Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/978-1-349-95121-5_1960-1.

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Sempi, Carlo. "Copulas". In International Encyclopedia of Statistical Science, 302–5. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-04898-2_190.

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Trivedi, Pravin K. "Copulas". In The New Palgrave Dictionary of Economics, 2290–93. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_1960.

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Ruppert, David. "Copulas". In Statistics and Data Analysis for Financial Engineering, 175–200. New York, NY: Springer New York, 2010. http://dx.doi.org/10.1007/978-1-4419-7787-8_8.

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Ruppert, David, e David S. Matteson. "Copulas". In Statistics and Data Analysis for Financial Engineering, 183–215. New York, NY: Springer New York, 2015. http://dx.doi.org/10.1007/978-1-4939-2614-5_8.

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Górecki, Jan, e Ostap Okhrin. "Copulas". In Hierarchical Archimedean Copulas, 1–14. Cham: Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-56337-9_1.

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Czado, Claudia. "Pair-Copula Constructions of Multivariate Copulas". In Copula Theory and Its Applications, 93–109. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-12465-5_4.

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Atti di convegni sul tema "Copulas"

Chan, Jackson Tsz Wah, Kwok Tai Chui, Leung Pun Wong, Ryan Wen Liu, Kwan-Keung Ng e Yan Keung Hui. "Generating Multivariate Exam Scores using Copulas and Socioeconomic Factors". In 2024 International Symposium on Educational Technology (ISET), 75–79. IEEE, 2024. http://dx.doi.org/10.1109/iset61814.2024.00024.

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Van Wijngaarden, Elise, Bart Van der Holst e Nikolaos G. Paterakis. "Day-Ahead Price Scenario Generation Using Conditioned Multivariate Elliptical Copulas". In 2024 International Conference on Smart Energy Systems and Technologies (SEST), 1–6. IEEE, 2024. http://dx.doi.org/10.1109/sest61601.2024.10694076.

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Zimmerling, A. V. "ZERO FORMS IN MORPHOLOGICAL PARADIGMS: THE VERB “BE” IN RUSSIAN". In International Conference on Computational Linguistics and Intellectual Technologies "Dialogue". Russian State University for the Humanities, 2020. http://dx.doi.org/10.28995/2075-7182-2020-19-795-810.

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This paper offers a corpus analysis of the Russian verb быть ‘be’ which has an abnormal present tense paradigm including a zero form ØBE.PRES and overt forms естьBE.PRES and сутьBE.PRES which do not discriminate person and number and are distributed syntactically. I discuss different approaches to the grammar of быть and argue that Apresjan’s model which recognizes ØBE.PRES, естьBE.PRES and сутьBE.PRES as parts of one and the same lemma is superior to alternative models splitting быть split into two lemmas representing copula vs content verb ‘be’. The peripheral status of overt present BE-forms compared with ØBE.PRES in the Russian National Corpus is confirmed by three measures: 1) dispersion of texts where a BE-form occurs; 2) uneven coverage in different persons and numbers; 3) ratio of copular uses vs content verb uses. 1–2 person present tense BE-forms attested in RNC are internal borrowings from Old Russian and Old Church Slavonic, while естьBE.PRES and сутьBE.PRES are inherited 3rd person elements which take over 1–2 person uses. The historical 3Pl суть is redundant in a system, where a more frequent 3rd person form есть is licensed in the plural: it survives by a minority of speakers either as an optional 3Pl copula in formal discourse or as an emphatic copula in oral discourse. The form естьBE.PRES occurs in all persons and numbers both as content verb and as copula but is underrepresented as 3Pl copula: this gap is filled by ØBE.PRES. The frequency of the zero copula ØBE.PRES can be measured in corpora without syntactic annotation on the basis of systemic proportion between present vs past tense uses of быть and on the basis of approximation samples for contexts where overt copulas alternate with ØBE.PRES.

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Pougaza, Doriano-Boris, Ali Mohammad-Djafari, Ali Mohammad-Djafari, Jean-François Bercher e Pierre Bessiére. "Maximum Entropies Copulas". In BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING: Proceedings of the 30th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering. AIP, 2011. http://dx.doi.org/10.1063/1.3573634.

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Tao, Shanshan, Sheng Dong e Yinghui Xu. "Design Parameter Estimation of Wave Height and Wind Speed With Bivariate Copulas". In ASME 2013 32nd International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/omae2013-10519.

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The data of annual extreme wave height and corresponding wind speed at a platform in Bohai Bay is hindcasted by a numerical model from 1970 to 1993. Common-used design probability distributions, such as Gumbel distribution, Weibull distribution, and lognormal distribution are applied to fit the data of extreme wave height and concomitant wind speed, respectively. Then the best-fitted marginal distributions of annual extreme wave height and wind speed can be selected. Bivariate normal copula and Frank copula are utilized to construct joint distribution of these two random variables. Based on empirical base shear equation of the on-site fixed jacket platform, the maximum base shear can be calculated under the same joint return period of the wave height and wind speed. The results show that the proposed joint probability models constructed by bivariate copulas result in lower the design environmental parameters because of the consideration of correlation between random variables. Eventually the investment cost of marginal oil fields could be relatively reduced.

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Noh, Yoojeong, K. K. Choi e Liu Du. "Selection of Copula to Generate Input Joint CDF for RBDO". In ASME 2008 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2008. http://dx.doi.org/10.1115/detc2008-49494.

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For RBDO problems with correlated input variables, it is necessary to obtain the input joint distribution (CDF, cumulative distribution function). Then Rosenblatt transformation is used to transform the correlated input variables into the independent standard normal variables for the purpose of inverse reliability analysis. However, in practical industry RBDO problems, often only the marginal CDFs and paired samples are available from limited experimental data. In this paper, a copula, which is a link between a joint CDF and marginal CDFs, is proposed to generate an input joint CDF from these marginal CDFs and paired samples. To identify the right copula from limited data, Bayesian method is proposed to use in this paper. Using Bayesian method, the number of samples required to properly identify the right copula is investigated for different types of copulas and for different correlation coefficients. A real industry problem is used to show how a copula can be identified from the limited experimental data.

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Shen, Xiaoping, Robert L. Ewing e Jia Li. "Supervise Learning With Copulas". In NAECON 2019 - IEEE National Aerospace and Electronics Conference. IEEE, 2019. http://dx.doi.org/10.1109/naecon46414.2019.9058051.

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Eickhoff, Carsten, Arjen P. de Vries e Kevyn Collins-Thompson. "Copulas for information retrieval". In SIGIR '13: The 36th International ACM SIGIR conference on research and development in Information Retrieval. New York, NY, USA: ACM, 2013. http://dx.doi.org/10.1145/2484028.2484066.

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Pap, Endre, e Aniko Szakal. "Binary copulas as aggregation functions". In 2014 IEEE 15th International Symposium on Computational Intelligence and Informatics (CINTI). IEEE, 2014. http://dx.doi.org/10.1109/cinti.2014.7028703.

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Su, Yan, e Xiaoxu Zhou. "Smooth Test for Elliptical Copulas". In 2017 International Conference on Applied Mathematics, Modeling and Simulation (AMMS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/amms-17.2017.51.

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Rapporti di organizzazioni sul tema "Copulas"

Qian, Yi, Anthony Koschmann e Hui Xie. A Practical Guide to Endogeneity Correction Using Copulas. Cambridge, MA: National Bureau of Economic Research, marzo 2024. http://dx.doi.org/10.3386/w32231.

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Becerra, Oscar, e Luis Fernando Melo-Velandia. Medidas de riesgo financiero usando copulas: teoría y aplicaciones. Bogotá, Colombia: Banco de la República, febbraio 2008. http://dx.doi.org/10.32468/be.489.

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Chervenov, Nikolay, e Boyan Kostadinov. Generalisation of the Notion of an n-Increasing Function. Archimedean Copulas. "Prof. Marin Drinov" Publishing House of Bulgarian Academy of Sciences, marzo 2019. http://dx.doi.org/10.7546/crabs.2019.03.02.

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Yang, Wen. Drought Analysis under Climate Change by Application of Drought Indices and Copulas. Portland State University Library, gennaio 2000. http://dx.doi.org/10.15760/etd.716.

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Horta, Paulo, Sérgio Lagoa e Luís Filipe Martins. Contagion Channels of the Subprime Financial Crisis to the NYSE Euronext European Markets using Copulas. DINÂMIA'CET-IUL, 2011. http://dx.doi.org/10.7749/dinamiacet-iul.wp.2011.15.

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Chen, Xiaohong, Zhijie Xiao e Roger Koenker. Copula-based nonlinear quantile autoregression. Institute for Fiscal Studies, ottobre 2008. http://dx.doi.org/10.1920/wp.cem.2008.2708.

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Bouezmarni, Taoufik, Mohamed Doukali e Abderrahim Taamouti. Copula-based estimation of health concentration curves with an application to COVID-19. CIRANO, 2022. http://dx.doi.org/10.54932/mtkj3339.

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COVID-19 has created an unprecedented global health crisis that caused millions of infections and deaths worldwide. Many, however, argue that pre-existing social inequalities have led to inequalities in infection and death rates across social classes, with the most-deprived classes are worst hit. In this paper, we derive semi/non-parametric estimators of Health Concentration Curve (HC) that can quantify inequalities in COVID-19 infections and deaths and help identify the social classes that are most at risk of infection and dying from the virus. We express HC in terms of copula function that we use to build our estimators of HC. For the semi-parametric estimator, a parametric copula is used to model the dependence between health and socio-economic variables. The copula function is estimated using maximum pseudo-likelihood estimator after replacing the cumulative distribution of health variable by its empirical analogue. For the non-parametric estimator, we replace the copula function by a Bernstein copula estimator. Furthermore, we use the above estimators of HC to derive copula-based estimators of health Gini coeffcient. We establish the consistency and the asymptotic normality of HC’s estimators. Using different data-generating processes and sample sizes, a Monte-Carlo simulation exercise shows that the semiparametric estimator outperforms the smoothed nonparametric estimator, and that the latter does better than the empirical estimator in terms of Integrated Mean Squared Error. Finally, we run an extensive empirical study to illustrate the importance of HC’s estimators for investigating inequality in COVID-19 infections and deaths in the U.S. The empirical results show that the inequalities in state’s socio-economic variables like poverty, race/ethnicity, and economic prosperity are behind the observed inequalities in the U.S.’s COVID-19 infections and deaths.

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Gómez-González, José Eduardo, Juan Sebastian Cubillos-Rocha e Luis Fernando Melo-Velandia. Detecting exchange rate contagion using copula functions. Bogotá, Colombia: Banco de la República, agosto 2018. http://dx.doi.org/10.32468/be.1047.

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Chen, Xiaohong, Wei Biao Wu Wu e Yanping Yi. Efficient estimation of copula-based semiparametric Markov models. Institute for Fiscal Studies, marzo 2009. http://dx.doi.org/10.1920/wp.cem.2009.0609.

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Loaiza-Maya, Rubén Albeiro, José Eduardo Gómez-González e Luis Fernando Melo-Velandia. Latin american exchange rate dependencies : a regular vine copula approach. Bogotá, Colombia: Banco de la República, agosto 2012. http://dx.doi.org/10.32468/be.729.

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