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Asymmetric linkages : maxmin vs. reflected maxmin copulasKokol-Bukovšek, Damjana ...V članku vpeljemo nove kopule, ki izhajajo iz modelov udarov. Znano je, da zrcaljene maksmin kopule niso samo poseben primer singularnih kopul, ampak vsebujejo tudi pomemben razred absolutno zveznih ... kopul, namreč negativno odvisne Eyraud-Farlie-Gumbel-Morgensternove kopule. Glavni cilj tega članka je razviti zrcaljene maksmin kopule z odvisnimi endogenimi udari in utemeljiti, da imajo zrcaljene maksmin kopule lepše lastnosti kot maksmin kopule: (1) Dokažemo, da je iterativni postopek za zrcaljeno maksmin transformacijo vedno konvergenten in izpeljemo uporabne lastnosti dobljenih limit. (2) Z uporabo tega rezultata najdemo tudi limito iterativnega maksmin postopka in tako odgovorimo na vprašanje, ki so ga zastavili Durante, Omladič, Oražem in Ružić [F. Durante, M. Omladič, L. Oražem, N. Ružić, Shock models with dependence and asymmetric linkages, Fuzzy Sets Syst. 323 (2017) 152-168]. (3) Podamo multivariatno zrcaljeno maksmin kopulo z odvisnimi udari, ki je v primerjavi z maksmin verzijo, ki so jo razvili Durante, Omladič, Oražem in Ružić, preprostejša. V vseh naših kopulah so notranji in zunanji udari povezani z nesimetričnimi funkcijami, v nasprotju z Marshallovimi kopulami, kjer so povezovalne funkcije simetrične.Source: Fuzzy sets and systems : international journal of soft computing and intelligence. - ISSN 0165-0114 (Vol. 393, Aug. 2020, str. 75-95)Type of material - article, component part ; adult, seriousPublish date - 2020Language - englishCOBISS.SI-ID - 18685529
Author
Kokol-Bukovšek, Damjana |
Košir, Tomaž, 1962- |
Mojškerc, Blaž |
Omladič, Matjaž
Topics
kopula |
odvisnost slučajnih spremenljivk |
maksmin kopule |
transformacije porazdelitvenih funkcij |
lastnost PQD |
analiza preživetja |
modeli udarov |
copula |
dependence concepts |
maxmin copulas |
transformations of distribution functions |
PQD property |
survival analysis |
shock models
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source: Fuzzy sets and systems : international journal of soft computing and intelligence. - ISSN 0165-0114 (Vol. 393, Aug. 2020, str. 75-95)
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Database name | Field | Year |
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Links to authors' personal bibliographies | Links to information on researchers in the SICRIS system |
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Kokol-Bukovšek, Damjana | 12190 |
Košir, Tomaž, 1962- | 08398 |
Mojškerc, Blaž | 23213 |
Omladič, Matjaž | 09573 |
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