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Elliptical and Archimedean Copulas in Estimation of Distribution Algorithm
the copula theory is often utilized for the probability model estimation to simplify this process. We made comparison of two classes of copulas - elliptical and Archimedean con firm our assumption that the elliptical
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
An experimental comparison of Value at Risk estimates based on elliptical and hierarchical Archimedean copulas
elliptical and hierarchical Archimedean copulas, where the latter is based on a recent approach to estimation of hierarchical Archimedean copulas based on the Kendall market. Our experimental results show that the estimate...
IN - Informatika
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
On the Accuracy of Copula-based Bayesian Classifiers: An Experimental Comparison with Neural Networks
In this work, we compare three classifiers in terms of accuracy. The first is a copula-based Bayesian classifier based on elliptical and Archimedean copulas for the recently proposed Archimedean copula-based Bayesi...
IN - Informatika
- 2015 •
- C •
- Link
Rok uplatnění
C - Kapitola v odborné knize
Výsledek na webu
Elliptical and Archimedean Copulas in Estimation of Distribution Algorithm with Model Migration.
investigated two families of copulas - Archimedean and elliptical. Experimental results techniques that are based on building and sampling a probability model. Copula theory version of copula-based EDA with prob...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
A comprehensive review on the development of copulas in financial field
, Elliptical and Archimedean copulas. Our findings suggest that copula is vital in solving"e Copula concept has long been used in many applications, especially and greatly assisted in the applications of financial ...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2023 •
- Jost •
- Link
Rok uplatnění
Jost - Ostatní články v recenzovaných periodicích
Výsledek na webu
Modelling of foreign asset returns for a Czech investor
is modelled by elliptic copula functions ? the Gaussian and the student copula function. In the paper, the comparison of a suitability of these two copula functions is made that in this particular case the Gaussia...
AH - Ekonomie
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Copulas and Credit Risk Models
) model, a typical industry example of the threshold models. Two main types of copulas include elliptical copulas and Archimedean copulas. The parameters of a parametricThe topic of this paper is copulas a...
Finance
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox
To extend the current implementation of copulas in MATLAB to non-elliptical copulas. This includes their representation as MATLAB objects, evaluation, sampling and goodness-of-fit of a 100-dimensional hierarchical Archimede...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2020 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Innovations at financial markets: How to model higher moments of portfolio distribution
elliptical (ie. symmetric) copula functions with stressed tails allows very good fitting suggest an ordinary copula with Lévy marginals based approach for estimation of market......
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
MARKET RISK CAPITAL REQUIREMENT FOR INSURANCE COMPANIES BY COPULA APPROACH
together by elliptical ordinary copula functions are assumed. We observe that elliptical (ie. symmetric) copula functions fail substantially in risk estimation over......
AH - Ekonomie
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
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