Search
Now showing items 110 of 36

Multivariate design via copulas
(European Geosciences Union (EGU) / Copernicus Publications, 2011)Calculating return periods and design quantiles in a multivariate framework is a difficult problem: essentially, this is due to the lack of a natural total order in multidimensional Euclidean spaces. This paper tries to ... 
Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity
(2013)We present a general view of patchwork constructions of copulas that encompasses previous approaches based on similar ideas (ordinal sums, gluing methods, piecingtogether, etc.). Practical applications of the new methodology ... 
Supermigrative copulas and positive dependence
(Springer Verlag (Germany), 2012)Recent investigations about notions of bivariate aging have underlined the need to introduce some new properties of positive dependence for a bivariate random vector. Here, by using the recent notion of supermigrativity ... 
A spatial contagion measure for financial time series
(Elsevier, 2014)A novel spatial contagion measure is proposed that is based on the calculation of suitable conditional Spearman’s correlations extracted from the financial time series of interest. Algorithms for the numerical estimation ... 
Clustering of financial time series in risky scenarios
(2014)A methodology is presented for clustering financial time series according to the association in the tail of their distribution. The procedure is based on the calculation of suitable pairwise conditional Spearman’s correlation ... 
Sklar's theorem obtained via regularization techniques
(Elsevier, 2012)Sklar’s theorem establishes the connection between a joint ddimensional distribution function and its univariate marginals. Its proof is straightforward when all the marginals are continuous. The hard part is the extension ... 
On a problem by Schweizer and Sklar
(Institute of Information Theory and Automation of the ASCR, 2012)We give a representation of the class of all ndimensional copulas such that, for a fixed m ε N, 2 ≤ m < n, all their mdimensional margins are equal to the independence copula. Such an investigation originated from an ... 
Semi–parametric approximation of the Kendall's distribution and multivariate Return Periods
(Société Francaise de Statistique, 2013)In this work we outline a constructive approach for the approximation of Kendall’s distribution function and Kendall’s Return Period in the bivariate case. First, we introduce a suitable theoretical framework, based on the ... 
A note on the notion of singular copula
(Elsevier, 2013)We clarify the link between the notion of singular copula and the concept of support of the measure induced by a copula. 
A topological proof of Sklar's theorem
(2013)We present a proof of Sklar's Theorem that uses topological arguments, namely compactness (under the weak topology) of the class of copulas and some density properties of the class of distribution functions.