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The Yosida approximation method is a classic regularization technique in maximal monotone operator theory. In the present paper, however, we apply it to the cumulative distribution function (cdf) and study its properties in the context of ...

The Gini’s mean difference was defined as the expected absolute difference between a random variable and its independent copy. The corresponding normalized version, namely Gini’s index, denotes two times the area between the egalitarian line and ...

The aim is to generalize 2-Wasserstein dependence coefficients to measure dependence between a finite number of random vectors. This generalization includes theoretical properties, and in particular focuses on an interpretation of maximal ...

In this communication, we present the necessary and sufficient conditions under which the copula-based interval-valued function A C is increasing with respect to an order generated by an admissible pair of aggregation functions. This result ...

• A new prediction algorithm called CPF-ANFIS, combining neuro-fuzzy and Copula-PF.
• A method for more accurate prediction in non-Gaussian and nonlinear systems.
• A solution to the curse of dimensionality in ANFIS and impoverishment in ...

This paper introduces a novel prediction algorithm, CPF-ANFIS, designed to overcome the challenges posed by high-dimensional input data in Adaptive Neuro-Fuzzy Inference Systems (ANFIS). ANFIS's performance deteriorates with increasing input ...

The frequency and severity of extreme events have increased in recent years in many areas. In the context of risk management for insurance companies, reinsurance provides a safe solution as it offers coverage for large claims. This paper ...

In this paper, we consider a portfolio credit risk model with the thinning-dependence structure under the case with regime switching and the one with no regime switching. We obtain the explicit expressions for the copulas of the default times. ...

• Presenting the explicit expressions for the joint survival function of default times.
• Presenting the methods for calculating the copulas of the default times.
• Giving an empirical example for CDS index tranches based on the market ...

A multidimensional unfolding technique that is not prone to degenerate solutions and is based on multidimensional scaling of a complete data matrix is proposed. We adopt the strategy of augmenting the data matrix, trying to build a complete ...

In this paper, we consider the problem of dependent censoring models with a positive probability that the times of failure are equal. In this context, we propose to consider the Marshall–Olkin type model and studied some properties of the ...

We investigate a new family of distributionally robust optimization problem under marginal and copula ambiguity with applications to portfolio optimization problems. The proposed model considers the ambiguity set of portfolio returns in which the ...

The motivation of this work came when we were trying to analyze gold price data of the Indian market and the exchange rate data between Indian Rupees and US Dollars. It is observed that in both the cases there is a significant amount of time when ${\mathrm{...}}_{}{}_{\mathrm{}}$${}_{}$${}_{}$${}_{}{}_{\mathrm{}}$

It is well known that every bivariate copula induces a positive measure on the Borel σ-algebra on [ 0 , 1 ] 2, but there exist bivariate quasi-copulas that do not induce a signed measure on the same σ-algebra. In this paper we show that a signed ...

Given climate change, trend detection is gaining increasing attention in the context of multivariate frequency analysis. In this paper, we propose new statistical tests for multivariate trend detection. The first one, a multivariate overall trend ...

• Two multivariate trend tests for multivariate hydrological series are proposed.
• New multivariate overall trend (MOT) test dealing with trend in all the components of the whole multivariate distribution.
• New multivariate dependence ...

The uncertainty of hydrological variables and socio-economic parameters presents new challenges for river basin water resources allocation (RBWRA). Motivated by the pressing need for more efficient and eco-friendly RBWRA solutions, a bi-level ...

• ITSP is utilized to describe the uncertain water demand in RWBRA.
• A multi-scenario analysis with copula captures the uncertain hydrologic situations.
• A bi-level multi-objective interval-bistochastic programming model is ...

Pairs trading is typically implemented using two assets. The copula approach can allow us to consider the dependency among multiple assets and use multivariate pairs in this strategy. The goal of this article is to investigate this strategy under ...

• We discuss traditional pairs trading by enabling the use of multivariate pairs in the trading strategy.
• Using copula functions, we extract joint distributions, enabling direct calculation of the joint probability for each pair of data ...

In this paper, we deal with the problem of preserving the copula property by means of a transformation called distortion where automorphisms of the real unit interval are involved. A new methodological approach is followed by resorting to a ...

Many authors have exploited the fact that the distribution of the multivariate probability integral transformation (PIT) of a continuous random vector X ∈ R d with cumulative distribution function F X is free of the marginal distributions. While ...

Two-dimensional distributions whose marginal distributions are uniform are called bivariate copulas. Among them, the one that satisfies given constraints on expectation and is closest to being an independent distribution in the sense of Kullback–...

As a fundamental concept in information theory, mutual information (M I) has been commonly applied to quantify association between random vectors. Most existing nonparametric estimators of M I have unstable statistical performance since they ...

Consider a multivariate distribution of ( X , Y ), where X is a vector of predictor variables and Y is a response variable. Results are obtained for comparing the conditional and marginal tail indices, ξ Y | X ( x ) and ξ Y, based on conditional ...