Öz
Kaynakça
- Sklar, A., Fonctions de rpartition n dimensions et leurs marges. Publ Inst Statist Univ Paris, 8 (1959) 229-231.
- Habiboellah, F., Copulas, Modeling dependencies in Financial Risk Management. Purmerend, Dec (2007).
- Friend, A., Rogge, E., Correlation at First Sight. Economic Notes: Review of Banking, Finance and Monetary Economics, (2004).
- Clemen, R.T., Reilly, T., Correlations and Copulas for Decision and Risk Analysis. Management Science, 45 (1999) 208-224.
- Najjari, V., Unsal, M. G., An Application of Archimedean Copulas for Meteorological Data. Gazi University Journal of Science, 25:2 (2012) 301-306.
- Celebioglu, S., Arşimedyen Kapulalar Ve Bir Uygulama. S Ü Fen Ed Fak Fen Derg, 22 (2003) 43- 52.
- Al-Harthy, M., Begg. S., Reidar B. Bratvold., Copulas: A new technique to model dependence in petroleum decision making. Journal of Petroleum Science and Engineering . 57 (2007) 195-208.
- Genest, C., MacKay, J., Copules archimdienneset familles de loisbi dimensionnelles dont les margessontdonnes. Canad J Statist, 14 (1986a) 145- 159.
- Genest, C., MacKay, J., The joy of copula, Bivariate distributions with uniformmarginals. Amer Statist, 40 (1986b) 280-285.
- Hua, Joe. H., Tail order and intermediate tail dependence of multivariate copulas. Journal of Multivariate Analysis, 102 (2011) 1454-1471.
- Nelsen, R.B., An Introduction to Copulas. Springer, New York, (2006) second edition.
Öz
In this study the main endeavor is to generate an Archimedean copulas (AC) family via hyperbolic function. With using function, a new generator of Archimedean family will be defined. Scatterplots, contour diagrams and also surface of the generated new Archimedean family will be shown for several values of its parameter.
Anahtar Kelimeler
Archimedean Copulas Generator Hyperbolic functions Kendall's tau. 1. INTRODUCTION
Kaynakça
- Sklar, A., Fonctions de rpartition n dimensions et leurs marges. Publ Inst Statist Univ Paris, 8 (1959) 229-231.
- Habiboellah, F., Copulas, Modeling dependencies in Financial Risk Management. Purmerend, Dec (2007).
- Friend, A., Rogge, E., Correlation at First Sight. Economic Notes: Review of Banking, Finance and Monetary Economics, (2004).
- Clemen, R.T., Reilly, T., Correlations and Copulas for Decision and Risk Analysis. Management Science, 45 (1999) 208-224.
- Najjari, V., Unsal, M. G., An Application of Archimedean Copulas for Meteorological Data. Gazi University Journal of Science, 25:2 (2012) 301-306.
- Celebioglu, S., Arşimedyen Kapulalar Ve Bir Uygulama. S Ü Fen Ed Fak Fen Derg, 22 (2003) 43- 52.
- Al-Harthy, M., Begg. S., Reidar B. Bratvold., Copulas: A new technique to model dependence in petroleum decision making. Journal of Petroleum Science and Engineering . 57 (2007) 195-208.
- Genest, C., MacKay, J., Copules archimdienneset familles de loisbi dimensionnelles dont les margessontdonnes. Canad J Statist, 14 (1986a) 145- 159.
- Genest, C., MacKay, J., The joy of copula, Bivariate distributions with uniformmarginals. Amer Statist, 40 (1986b) 280-285.
- Hua, Joe. H., Tail order and intermediate tail dependence of multivariate copulas. Journal of Multivariate Analysis, 102 (2011) 1454-1471.
- Nelsen, R.B., An Introduction to Copulas. Springer, New York, (2006) second edition.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | Mühendislik |
| Bölüm | Statistics |
| Yazarlar | |
| Yayımlanma Tarihi | 5 Temmuz 2013 |
| Yayımlandığı Sayı | Yıl 2013 Cilt: 26 Sayı: 2 |