scholarly journals New Families of Bivariate Copulas via Unit Lomax Distortion

Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 106
Author(s):  
Fadal Abdullah-A Aldhufairi ◽  
Ranadeera G.M. Samanthi ◽  
Jungsywan H. Sepanski
Keyword(s):  
Random Variable ◽  
Copula Function ◽  
Unit Interval ◽  
Copula Model ◽  
Copula Models ◽  
Density Distributions ◽  
New Family ◽  
Concordance Order ◽  
Bivariate Copula

This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval. Existing copulas play the role of the base copulas that are distorted into new families of copulas with additional parameters, allowing more flexibility and better fit to data. We present general forms for the new bivariate copula function and its conditional and density distributions. The properties of the new family of the unit-Lomax induced copulas, including the tail behaviors, limiting cases in parameters, Kendall’s tau, and concordance order, are investigated for cases when the base copulas are Archimedean, such as the Clayton, Gumbel, and Frank copulas. An empirical application of the proposed copula model is presented. The unit-Lomax distorted copula models outperform the base copulas.

scholarly journals New families of bivariate copulas via unit weibull distortion

2020 ◽  
Vol 7 (1) ◽  
Author(s):  
Fadal A.A. Aldhufairi ◽  
Jungsywan H. Sepanski
Keyword(s):  
Tail Dependence ◽  
Copula Function ◽  
Kendall’S Tau ◽  
Kendall's Tau ◽  
Density Distributions ◽  
New Family ◽  
Upper Tail Dependence ◽  
Bivariate Copula

Abstract This paper introduces a new family of bivariate copulas constructed using a unit Weibull distortion. Existing copulas play the role of the base or initial copulas that are transformed or distorted into a new family of copulas with additional parameters, allowing more flexibility and better fit to data. We present a general form for the new bivariate copula function and its conditional and density distributions. The tail behaviors are investigated and indicate the unit Weibull distortion may result in new copulas with upper tail dependence when the base copula has no upper tail dependence. The concordance ordering and Kendall’s tau are derived for the cases when the base copulas are Archimedean, such as the Clayton and Frank copulas. The Loss-ALEA data are analyzed to evaluate the performance of the proposed new families of copulas.

scholarly journals Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models

2012 ◽  
Author(s):  
Arsalan Azamighaimasi
Keyword(s):  
Factor Model ◽  
Risk Measures ◽  
Random Variable ◽  
Copula Function ◽  
Dependence Structure ◽  
Risk Modeling ◽  
Portfolio Risk ◽  
Copula Models ◽  
Dependence Modeling ◽  
T Copula

We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula case. And we generate portfolio default distributions and study the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.  

scholarly journals The Role of Global Appearance of Omnidirectional Images in Relative Distance and Orientation Retrieval

Sensors ◽  
2021 ◽  
Vol 21 (10) ◽  
pp. 3327
Author(s):  
Vicente Román ◽  
Luis Payá ◽  
Adrián Peidró ◽  
Mónica Ballesta ◽  
Oscar Reinoso
Keyword(s):  
Mobile Robotics ◽  
A Priori ◽  
Computational Cost ◽  
Relevant Information ◽  
Local Features ◽  
New Family ◽  
Lighting Conditions ◽  
Omnidirectional Images ◽  
Great Development

Over the last few years, mobile robotics has experienced a great development thanks to the wide variety of problems that can be solved with this technology. An autonomous mobile robot must be able to operate in a priori unknown environments, planning its trajectory and navigating to the required target points. With this aim, it is crucial solving the mapping and localization problems with accuracy and acceptable computational cost. The use of omnidirectional vision systems has emerged as a robust choice thanks to the big quantity of information they can extract from the environment. The images must be processed to obtain relevant information that permits solving robustly the mapping and localization problems. The classical frameworks to address this problem are based on the extraction, description and tracking of local features or landmarks. However, more recently, a new family of methods has emerged as a robust alternative in mobile robotics. It consists of describing each image as a whole, what leads to conceptually simpler algorithms. While methods based on local features have been extensively studied and compared in the literature, those based on global appearance still merit a deep study to uncover their performance. In this work, a comparative evaluation of six global-appearance description techniques in localization tasks is carried out, both in terms of accuracy and computational cost. Some sets of images captured in a real environment are used with this aim, including some typical phenomena such as changes in lighting conditions, visual aliasing, partial occlusions and noise.

Mothering from a Distance: The Lived Experiences of Filipina Transnational Mothers in Singapore

2021 ◽  
pp. 106648072110618
Author(s):  
Jeffrey R. Ballaret ◽  
Jonel P. Lanada
Keyword(s):  
Labor Migration ◽  
Lived Experiences ◽  
Positive Thinking ◽  
Economic Prosperity ◽  
Virtual Communication ◽  
The Past ◽  
New Family ◽  
Transnational Mothers

Transnational motherhood continues to grow among Filipina mothers. It resulted in economic prosperity and quality of life of Filipino families but caused family pressures within the sphere of motherhood. This qualitative study is grounded through the philosophical lens of phenomenology aimed to explore the lived experiences of transnational mothers. It seeks to understand their life history, present experiences that redefined their motherhood, and reflections of the future. The lived experiences of transnational mothers began with the experience of the personal and structural dimensions of poverty in the past. Their decision to embark on labor migration was primarily instrumental to alleviate their life condition. However, mothering from a distance has ensued emotional, social, and psychological strains. To cope with the situation, they observed four central coping ways: the role of faith and prayer; the repression of emotional strains through work and friends; focus and positive thinking; and the rationalization of distance by way of regular virtual communication and remittances. The hopes of transnational mothers revealed their yearning for family reunification predicated on improving their family life through financial security, savings, and children's education. This intersection between motherhood and labor migration has therefore created new family forms, structures, roles, meaning, and expectations.

scholarly journals Peran Penyuluh Agama dalam Kehidupan Beragama guna Meningkatkan Keluarga Sakinah (Studi Kasus pada Majelis Ta'lim Al-Muhajirin Sukarame II Bandar Lampung)

2019 ◽  
Vol 1 (1) ◽  
pp. 92-108
Author(s):  
Rahmat Hidayat
Keyword(s):  
Religious Language ◽  
Community Leaders ◽  
Religious Leaders ◽  
Government Program ◽  
New Family ◽  
Strategic Role ◽  
The Government ◽  
Negative Impacts

ABSTRACT  Islamic Religious Instructor has a quite strategic role in the midst of society. besides he is a preacher of Islam, also the Islamic Religious Instructor, according to his function as a guide, illuminator, and community builder with religious language. The role of religious counselors in addition to functioning as an impetus for the community to actively participate in development also plays a role in overcoming obstacles that build the course of development, particularly overcoming negative impacts. Religious instructors as religious leaders always guide, nurture, and move the community to do good and stay away from prohibited acts, inviting something that is needed by the community in fostering its territory both for the purposes of social facilities and worship. The Religious Instructor is a place to ask questions and a place to complain for his community to solve and resolve with his advice. Religious Instructors as community leaders act as priests in matters of religion and social problems as well as in matters of state by an effort to succeed the government program. The role of religious instructors in improving and creating the quality of sakinah families in the Muhajirin AL Muhajirin voluntary II Ta'lim Assembly group in Teluk Betung Barat Subdistrict, Bandar Lampung City, it can be concluded that religious counselors play an important role in improving the quality of sakinah families, one of which is in terms of worship , and also able to improve the quality of a new family and has long become a sakinah family.

scholarly journals Comultiplication Rules for the Double Schur Functions and Cauchy Identities

10.37236/102 ◽  
2009 ◽  
Vol 16 (1) ◽  
Author(s):  
A. I. Molev
Keyword(s):  
Symmetric Functions ◽  
Schur Functions ◽  
Primitive Elements ◽  
Expansion Formula ◽  
New Family ◽  
Dual Object ◽  
Multiplication Rule ◽  
Distinguished Basis ◽  
Natural Way

The double Schur functions form a distinguished basis of the ring $\Lambda(x\!\parallel\!a)$ which is a multiparameter generalization of the ring of symmetric functions $\Lambda(x)$. The canonical comultiplication on $\Lambda(x)$ is extended to $\Lambda(x\!\parallel\!a)$ in a natural way so that the double power sums symmetric functions are primitive elements. We calculate the dual Littlewood–Richardson coefficients in two different ways thus providing comultiplication rules for the double Schur functions. We also prove multiparameter analogues of the Cauchy identity. A new family of Schur type functions plays the role of a dual object in the identities. We describe some properties of these dual Schur functions including a combinatorial presentation and an expansion formula in terms of the ordinary Schur functions. The dual Littlewood–Richardson coefficients provide a multiplication rule for the dual Schur functions.

scholarly journals On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 79 ◽  
Author(s):  
Vadim Semenikhine ◽  
Edward Furman ◽  
Jianxi Su
Keyword(s):  
Risk Model ◽  
Tail Dependence ◽  
Random Variable ◽  
Copula Function ◽  
Background Risk ◽  
Aggregate Risk ◽  
Multivariate Gamma Distribution ◽  
Multivariate Probability Distribution ◽  
Dependent Risks ◽  
Main Message

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the same task is via an application of the Bernstein–Widder theorem with respect to a shifted inverse Beta probability density function. This way, which leads to an arguably equally popular multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative multivariate gamma (MMG) distribution in the most general form, and we explore its various properties thoroughly. Specifically, we study the links to the MBRM, employ the machinery of divided differences to derive the distribution of the aggregate risk random variable explicitly, look into the corresponding copula function and the measures of nonlinear correlation associated with it, and, last but not least, determine the measures of maximal tail dependence. Our main message is that the MMG distribution is (1) very intuitive and easy to communicate, (2) remarkably tractable, and (3) possesses rich dependence and tail dependence characteristics. Hence, the MMG distribution should be given serious considerations when modelling dependent risks.

Forecasting multivariate VaR and ES using MC-GARCH-Copula model

2020 ◽  
Vol 21 (5) ◽  
pp. 493-516 ◽  
Author(s):  
Hemant Kumar Badaye ◽  
Jason Narsoo
Keyword(s):  
Value At Risk ◽  
Garch Model ◽  
Dependence Structure ◽  
Copula Model ◽  
Copula Models ◽  
Content Type ◽  
Significance Level ◽  
Foreign Currencies ◽  
Out Of Sample ◽  
Weighted Portfolio

Purpose This study aims to use a novel methodology to investigate the performance of several multivariate value at risk (VaR) and expected shortfall (ES) models implemented to assess the risk of an equally weighted portfolio consisting of high-frequency (1-min) observations for five foreign currencies, namely, EUR/USD, GBP/USD, EUR/JPY, USD/JPY and GBP/JPY. Design/methodology/approach By applying the multiplicative component generalised autoregressive conditional heteroskedasticity (MC-GARCH) model on each return series and by modelling the dependence structure using copulas, the 95 per cent intraday portfolio VaR and ES are forecasted for an out-of-sample set using Monte Carlo simulation. Findings In terms of VaR forecasting performance, the backtesting results indicated that four out of the five models implemented could not be rejected at 5 per cent level of significance. However, when the models were further evaluated for their ES forecasting power, only the Student’s t and Clayton models could not be rejected. The fact that some ES models were rejected at 5 per cent significance level highlights the importance of selecting an appropriate copula model for the dependence structure. Originality/value To the best of the authors’ knowledge, this is the first study to use the MC-GARCH and copula models to forecast, for the next 1 min, the VaR and ES of an equally weighted portfolio of foreign currencies. It is also the first study to analyse the performance of the MC-GARCH model under seven distributional assumptions for the innovation term.

Microscopic description of the fusion excitation function of 32,36S+90,94,96Zr

2020 ◽  
Vol 29 (07) ◽  
pp. 2050046
Author(s):  
M. Rashdan ◽  
T. A. Abdel-Karim
Keyword(s):  
Excitation Function ◽  
Excited States ◽  
Density Functional ◽  
Neutron Density ◽  
Energy Density Functional ◽  
Hartree Fock ◽  
Density Distributions ◽  
Text Interaction ◽  
Good Agreement

The fusion excitation function for the systems [Formula: see text]S+[Formula: see text]Zr is investigated using a microscopic internuclear potential derived from Skyrme energy density functional. The inputs in this approach are the proton and neutron density distributions of the interacting nuclei, which are derived from Skyrme–Hartree–Fock calculations. The SkM[Formula: see text] interaction is used in the calculation of the nuclear densities as well as the internuclear potential. The coupling to low lying inelastic excited states of target and projectile is considered. The role of the neutron transfer is discussed, where it is considered through the CCFULL model calculation. A good agreement with the experimental data is obtained without adjustable parameters.

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