Journals / Selçuk Üniversitesi Fen Edebiyat Fakültesi Fen Dergisi / 2003 / Sayı: 22

Archimedean copulas and an application

Arşimedyen kapulalar ve bir uygulama

Pages
43–52
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In addition, two applications for the student examination scores are given.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Especially in the last years, the Archimedean copulas take place more frequently in the applications.
📊
Key Findings & Data:In this study, it is tried to introduce the Archimedean copulas with their basic properties, two parameter families and the multivariate families meanwhile some new developments are touched on.
💡
Conclusion & Impact:In addition, two applications for the student examination scores are given.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

Especially in the last years, the Archimedean copulas take place more frequently in the applications. In this study, it is tried to introduce the Archimedean copulas with their basic properties, two parameter families and the multivariate families meanwhile some new developments are touched on. In addition, two applications for the student examination scores are given.

Özet

Arşimedyen kapulalar özellikle son yıllarda uygulamalarda sıklıkla kullanılmaya başlamıştır. Bu çalışmada bu kapulaların temel özellikleri, iki parametreli ve ikiden çok değişkenli aileleri ile birlikte bu alanda ortaya çıkan yeni gelişmelere değinilmiştir. Ayrıca iki örnek uygulamaya yer verilmiştir.

🔖

Cite This Article

ÇELEBİOĞLU, S. (2003). Archimedean copulas and an application. Selçuk Üniversitesi Fen Edebiyat Fakültesi Fen Dergisi, Sayı: 22, 43–52. https://ajindex.com/articles/317615

References (19)

  1. Schweizer, B., Sklar, A., Probabilistic Metric Spaces, North Holland, New York (1983)
  2. Nelsen,R.B., An Introduction to Copulas, Springer, New York (1999)
  3. Juri, A., Wüthrich,M.V., Copula convergence theorems for tail events, Insurance Math. Econ., 30(3), 405-420 (2002)
  4. Hennessy, D.A., Lapan, D.E., The use of Archimedean copulas to model portfolio allocations, Math Finance, 12(2), 143-155 (2002)
  5. Gray, R.J.,Li, Y., Optimal weight functions for marginal proportional hazards analysis of clustered failure time data, Lifetime Dat Anal, 8(1), 5-19 (2002)
  6. Wang, W.J., Wells, M.T., Model selection and semiparametric inference for bivariate failure-time data, J. Amer. Statist. Assoc., 95(449), 62-72 (2000)
  7. Genest, C., MacKay, J., Copules archimédiennes et familles de lois bidimensionelles dont les marges sont données, Canad. J. Statist., 14, 145-159 (1986)
  8. Genest, C., MacKay, J., The joy of copulas: bivariate distributions with uniform marginals, Amer. Statist., 40, 280-285 (1986)
  9. Nelsen, R.B., Dependence and order in Archimedean copulas, J. Multivariate Anal., 60(1), 111-122 (1997)
  10. Joe, H., Multivariate Models and Dependence Concepts, Chapman and Hall, London (1997)
  11. Lu, J.C., Bhattacharyya, G.K., Some new constructions of bivariate Weibull models, Ann. Inst. Stat. Math., 42, 543- 559 (1990)
  12. Joe, H., Parametric families of multivariate distributions with given margins, J. Multivariate Anal., 46, 262-282 (1993)
  13. Çelebioğlu, S., Archimedean copulas generated by the analytical means of generators, Araştırma Sempozyumu ’97, Ankara 24-26 Kasım 1997, Araştırma Sempozyumu ’97 Bildirileri, 32-36,Ankara (1997)
  14. Çelebioğlu, S., On a one-parametric family of copulas, İstatistik Günleri Sempozyumu, Adana 25-26 Mayıs 1998, İstatistik Günleri Sempozyumu Bildiriler Kitabı, 1-4, Ankara (1998)
  15. Çelebioğlu, S., Toplamsal Arşimedyen üreticilerden türetilen yeni bir kapulalar ailesi, İstatistik Konferansı, Ankara 26-27 Ekim 1998, İstatistik Konferansı Bildiriler Kitabı, 31-35, Ankara (1999)
  16. Capéraà, P., Fougères, A.-L., Genest, C., Bivariate distributions with given extreme value attractor, J. Multivariate Anal., 72, 30-49 (2000)
  17. Joe, H., Ma, C., Multivariate survival functions with a min-stable property, J. Multivariate Anal., 75, 13-35 (2000)
  18. Sungur, E.A., Some results on truncation dependence invariant class of copulas, Commun. Statist. Theory-Meth., 31(8), 1399-1422 (2002)
  19. Genest, C., Ghoudi, K., Rivest,