A functional inequality, called supermigrativity, was recently introduced for bivariate semi-copulas and applied in various problems arising in the study of aging properties of stochastic systems. ...Here, we revisit this notion and extend it to the case of aggregation functions in higher dimensions. In particular, we show how supermigrativity can be expressed via monotonicity of a function with respect to logarithmic majorization ordering of real vectors. Various alternative characterizations of supermigrativity are illustrated, together with some of its weaker versions. Several examples show similarities and differences between the bivariate and the general case.
As drought is among the natural hazards which affect people and economies world wide and often results in huge monetary losses, sophisticated methods for drought monitoring and decision making are ...needed. Many approaches to quantify drought severity have been developed during recent decades. However, most of these drought indices suffer from different shortcomings, account only for one or two driving factors which promote drought conditions and neglect their interdependences. We provide novel methodology for the calculation of (multivariate) drought indices, which combines the advantages of existing approaches and omits their disadvantages. It can be used flexibly in different applications to model different types of drought on the basis of user-selected, drought relevant variables.The methodology benefits from the flexibility of vine copulas in modelling multivariate non-Gaussian intervariable dependence structures. Based on a three-variate data set, an exemplary agrometeorological drought index is developed. The data analysis illustrates and reasons the methodology described. A validation of the exemplary multivariate agrometeorological drought index against observed soybean yield affirms the validity and abilities of the methodology. A comparison with established drought indices shows the benefits of our multivariate approach.
The copula verbs in Old Tibetan Shao, Mingyuan
Language and linguistics (Taipei),
06/2019, Volume:
20, Issue:
3
Journal Article
Peer reviewed
Open access
Old Tibetan (7th-10th century) has two copulas, yin and lags. They can also be used as auxiliaries to index tense and aspect. Pragmatically, yin is used in general statements, and lags is used in ...honorifics. Furthermore, the two copulas are syntactically optional in an affirmative statement, but generally mandatory in a negative statement or in an affirmative statement that carries a contrastive focus. As an honorific element, the copula lags is usually used in other-person sentences, thus gradually acquired some factual evidential meaning. At the same time, through pragmatic inference, the other copula yin acquires the egophoric evidential meaning. The evidentiality carried by copula verbs in most of the modern Tibetan languages derived from Old Tibetan copula constructions. Finally, similar morphosyntactic processes of copulas in other Tibeto-Burman languages strongly support this hypothesis.
This volume is the fifth in John Benjamins’ series Issues in Hispanic and Lusophone Linguistics. It contains 10 original contributions, in addition to an introduction by the editors. This volume is ...the first collection of papers devoted to Spanish copulas ser and estar using the tools and frameworks of contemporary theoretical linguistics.
The behavior of Spanish verbs of becoming (e.g., volverse rico ‘to become rich’), also known as pseudocopular or semicopular verbs, has received relatively little attention in the literature. Bybee & ...Eddington (2006) (B&E) analyze these verbs employing an exemplar model based on frequency and semantic similarity. The current paper presents an analysis of verbs of becoming based on the notion of cluster concepts (Jackendoff 2002, 1983), set within a scale, as an alternative account to B&E’s, that explains the behavior of this class of verbs in a more precise and comprehensive way. The current study shows that there are strong tendencies in the use of adjectives with a given verb of becoming, which correlate to their use with the copular verbs ser/estar. Crucially, the cluster concept model accounts for uses of adjectives that do not fall into any particular grouping in B&E’s model. A corpus study supports the analysis. The current study represents an original contribution in that it is the only study that treats verbs of becoming using the notion of cluster concepts.
The dependency structure between hydrological variables is of critical importance to hydrological modelling and forecasting. When a copula capturing that dependence is fitted to a sample, information ...on the uncertainty of the fit is needed for subsequent hydrological calculations and reasoning. A new method is proposed to report inferential uncertainty in a copula parameter. The method is based on confidence curves constructed with the use of a pseudo maximum likelihood estimator for the copula parameter. The method was tested on synthetic data and then used as a tool in two hydrological examples. The first examines the probability of major floods in two locations on the Rhine River and its tributaries in the same calendar year. In the second example, rainfall–runoff from a karst region in Tunisia was analysed to determine a confidence interval for the delay between precipitation and runoff.
In this article, we propose a wavelet-based approach to accommodate the stylized facts and complex structure of financial data, caused by frequent and abrupt changes of markets and noises. ...Specifically, we show how the combination of both continuous and discrete wavelet transforms with traditional financial models helps improve portfolio’s market risk assessment. In the empirical stage, three wavelet-based models (wavelet-EGARCH with dynamic conditional correlations, wavelet-copula, and wavelet-extreme value) are considered and applied to crude oil price and US dollar exchange rate data. Our findings show that the wavelet-based approach provides an effective and powerful tool for detecting extreme moments and improving the accuracy of VaR and Expected Shortfall estimates of oil–exchange rate portfolios after noise is removed from the original data.
•Financial models (EVT, copulas, DCC-EGARCH) are combined with wavelet transforms.•These wavelet-based models help accommodate the complex structure of financial data.•They are then applied to both denoised and original data of oil and exchange rates.•We find that wavelet transforms enable the detection of extreme events in return data.•The proposed models help improve the accuracy of portfolio’s market risk.
We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a ...nationally integrated and efficient electricity market, limiting market power of generators in the separate regional markets. Our analysis is based on a GARCH approach to model the marginal price series in the considered regions in combination with copulae to capture the dependence structure between the marginals. We apply different copula models including Archimedean, elliptical and copula mixture models. We find a positive dependence structure between the prices for all considered markets, while the strongest dependence is exhibited between markets that are connected via interconnector transmission lines. Regarding the nature of dependence, the Student-t copula provides a good fit to the data, while the overall best results are obtained using copula mixture models due to their ability to also capture asymmetric dependence in the tails of the distribution. Interestingly, our results also suggest that for the four major markets, NSW, QLD, SA and VIC, the degree of dependence has decreased starting from the year 2008 towards the end of the sample period in 2010. Examining the Value-at-Risk of stylized portfolios constructed from electricity spot contracts in different markets, we find that the Student-t and mixture copula models outperform the Gaussian copula in a backtesting study. Our results are important for risk management and hedging decisions of market participants, in particular for those operating in several regional markets simultaneously.
•We model the dependence between regional Australian electricity markets using copulae.•We find a significant positive dependence between all of the considered markets.•Best results are obtained for Student-t and mixture Gumbel & survival Gumbel copulae.•Tail dependence indicates that extreme prices happen jointly across regional markets.•In a Value-at-Risk study models with tail dependence outperform the Gaussian copula.
This paper proposes a framework to identify, visualize, and quantify risk of potential over/under voltage due to annual energy consumption and PV generation growth. The stochastic modeling considers ...the following: (i) Active and reactive power profiles for distribution transformers, dependent on annual energy consumption and activity in the serviced areas. (ii) Variable solar irradiance profiles that allow a broader range of PV generation scenarios for sunny, overcast, and cloudy days. The proposed framework uses multivariate-<inline-formula><tex-math notation="LaTeX">t</tex-math></inline-formula> copulas to model temporal correlations between random variables to generate synthetic scenarios. A probabilistic power flow is computed using the generated scenarios to define critical static operating regions. Results show that classical approaches may underestimate the maximum PV capacity of distribution networks when local irradiance conditions are not considered. Moreover, it is found that including annual energy consumption growth is critical to establishing realistic PV installation capacity limits. Finally, a sensitivity analysis shows that taking a 5% of overvoltage risk could increase up to 15% of the PV installed capacity limits.
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