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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 ArchimedeanEstimation of distribution algorithm (EDA...
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
Estimation of distribution algorithm with copula probabilistic model:a short introduction.
A new approach of probabilistic modeling used in Estimation of Distribution Algorithms (EDAs) based on Copula theory is described. By means of copulas it is possible distribution. Two- dimensional Gaussian copula i...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2014 •
- 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
approach to estimation of hierarchical Archimedean copulas based on the Kendall market. Our experimental results show that the estimates based on elliptical copulas the estimates based on hierarchical Arc...
IN - Informatika
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
We suggest modification of existing kernel estimators for a copula function in order to prevent corner bias problems when the second derivatives of the copula resultfor the suggest estimators under conditions that ...
BA - Obecná matematika
- 2009 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification
Copulas are distribution functions with standard uniform univariate marginals. Copulas are widely used for studying dependence among continuously distributed random algorithms or classification). The present work considers an es...
IN - Informatika
- 2016 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix
An estimation method for the copula of a continuous multivariate distribution is proposed. A popular class of copulas, namely the class of hierarchical Archimedean copulas, is considered. The proposed method is bas...
IN - Informatika
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix
An estimation method for the copula of a continuous multivariate distribution is proposed. A popular class of copulas, namely the class of hierarchical Archimedean copulas, is considered. The proposed method is bas...
IN - Informatika
- 2014 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix
An estimation method for the copula of a continuous multivariate distribution is proposed. A popular class of copulas, namely the class of hierarchical Archimedean copulas, is considered. The proposed method is bas...
IN - Informatika
- 2014 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
The pairwise pseudo-likelihood estimator (PPLE) is introduced for estimating the parameters of pair-tractable copulas, so copulas with analytically or numerically and hierarchical Archimax copulas. In case...
Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
- 2023 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Copula shrinkage and portfolio allocation in ultra-high dimensions
the problem of estimation of Gaussian and t copulas in ultra-high dimensions, up and well-conditioned estimates of copula matrix parameters. Simulations show that shrinkage copulas significantly outperfor...
Applied Economics, Econometrics
- 2022 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
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