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Parameter estimation for pair-copula constructions
copulae efficiency empirical distribution functions hierarchical construction stepwise estimation vines
2013/4/28
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its as...
Vine Constructions of Levy Copulas
Levy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/19
Levy copulas are the most natural concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A ...
On some constructions of optimum chemical balance weighing designs
some constructions optimum chemical balance weighing designs
2009/9/23
Theorem giving the necessary and sflicient conditions
under which a chemical balance weighing design for v + l objects is
optimal is proved. Also certain new construction methods of these
optimum d...
CONSTRUCTIONS OF CONTENTS ANID MEASURES SA'FISFYING A PRESCRIBED SET OF INTEGRAL INEQUALITIES
Contents measures functionals integral representations
2009/9/18
Let @ be a given set of real-valued functions on the set
T and let 8: @ + be a given functional with values in the extended
real line = [- m, oo]. The objective of the paper is to construct
content...
On the constructions of the skew Brownian motion
skew Brownian motion PDE with singular drift PDE with transmission condition SDE with local time excursions of Brownian motion
2009/5/18
This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modelling and numerical simulation motiv...
Some Patterned Constructions of Rectangular Designs
BIB design nestedness rectangular design
2009/3/10
This paper describes some new patterned methods of constructing rectangular designs from balanced incomplete block (BIB) designs and nested BIB designs, and gives a table of rectangular designs in the...