Open AccessBook
An Introduction to Copulas
TLDR
This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.Abstract:
The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.read more
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Copula Modeling: An Introduction for Practitioners
TL;DR: This article explores the copula approach for econometric modeling of joint parametric distributions and demonstrates that practical implementation and estimation of copulas are relatively straightforward.
Journal ArticleDOI
The Copula-GARCH model of conditional dependencies: An international stock market application
Eric Jondeau,Michael Rockinger +1 more
TL;DR: In this article, a new methodology based on copula functions is proposed to estimate first the univariate distributions and then the joining distribution of stock market returns, which can easily be rendered conditional and time varying.
Journal ArticleDOI
An adaptive algorithm to build up sparse polynomial chaos expansions for stochastic finite element analysis
Géraud Blatman,Bruno Sudret +1 more
TL;DR: A non-intrusive method that builds a sparse PC expansion and an adaptive regression-based algorithm is proposed for automatically detecting the significant coefficients of the PC expansion in a suitable polynomial chaos basis.
Journal ArticleDOI
Drought modeling-A review
Ashok K. Mishra,Vijay P. Singh +1 more
TL;DR: In this paper, Mishra et al. reviewed different methodologies used for drought modeling, which include drought forecasting, probability based modeling, spatio-temporal analysis, use of Global Climate Models (GCMs) for drought scenarios, land data assimilation systems for drought modelling, and drought planning.
BookDOI
Simultaneous Statistical Inference
TL;DR: A variety of classical and modern type I and type II error rates in multiple hypotheses testing are defined, some relationships between them are analyzed, and different ways to cope with structured systems of hypotheses are considered.