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Solution to an open problem about a transformation on the space of copulas
(De Gruyter Open, 2014)We solve a recent open problem about a new transformation mapping the set of copulas into itself. The obtained mapping is characterized in algebraic terms and some limit results are proved. 
Invariant dependence structure under univariate truncation
(Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2012)The class of all bivariate copulas that are invariant under univariate truncation is characterized. To this end, a family of bivariate copulas generated by a realvalued function is introduced. The obtained results are ... 
Bivariate copulas generated by perturbations
(Elsevier, 2013)In this paper, we provide a family of bivariate copulas based on a perturbation of a given copula by a factor term. The new class generalizes wellknown families of copulas and allows to describe a wide range of possible ... 
On the approximation of copulas via shuffles of Min
(Elsevier, 2012)We study a multivariate extension of shuffles of Min that has a probabilistic interpretation in terms of mutually completely dependent process. The closure properties of the class of such copulas under different types of ... 
Detecting and measuring spatial contagion
(ERCIM WG on Computing & Statistics, 2012)Contagion is usually referred to as the process that describes the spread of financial difficulties from one economy to others in the same region and beyond. In practice spatial contagion between two financial markets X ... 
Multivariate return period calculation via survival functions
(American Geophysical Union (AGU), 2013)The concept of return period is fundamental for the design and the assessment of many engineering works. In a multivariate framework, several approaches are available to its definition, each one yielding different solutions. ... 
An analysis of the dependence among financial markets by spatial contagion
(WileyBlackwell, 2013)Spatial contagion between two financial markets X and Y appears when there is more dependence between X and Y when they are doing badly than when they exhibit typical performance. In this paper, we introduce an index to ... 
On the singular components of a copula
(Applied Probability Trust, 2015)We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only ... 
Diagonal plane sections of trivariate copulas
(Elsevier, 2016)We introduce the notion of diagonal plane section of a trivariate copula as an additional tool to describe its tail dependence behavior. This notion extends the concept of diagonal section of a bivariate copula. We provide ... 
A semi–parametric approach in the estimation of the structural risk in environmental applications
(Gruppo di Ricerca per le Applicazioni della Statistica ai Problemi Ambientali, 2015)In environmental applications, the estimation of the structural risk is crucial. A statistical model for the behavior of the input variables is generally required, possibly accounting for different dependence structures ...