6 resultados para copula

em Queensland University of Technology - ePrints Archive


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Optimal design for generalized linear models has primarily focused on univariate data. Often experiments are performed that have multiple dependent responses described by regression type models, and it is of interest and of value to design the experiment for all these responses. This requires a multivariate distribution underlying a pre-chosen model for the data. Here, we consider the design of experiments for bivariate binary data which are dependent. We explore Copula functions which provide a rich and flexible class of structures to derive joint distributions for bivariate binary data. We present methods for deriving optimal experimental designs for dependent bivariate binary data using Copulas, and demonstrate that, by including the dependence between responses in the design process, more efficient parameter estimates are obtained than by the usual practice of simply designing for a single variable only. Further, we investigate the robustness of designs with respect to initial parameter estimates and Copula function, and also show the performance of compound criteria within this bivariate binary setting.

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The most important aspect of modelling a geological variable, such as metal grade, is the spatial correlation. Spatial correlation describes the relationship between realisations of a geological variable sampled at different locations. Any method for spatially modelling such a variable should be capable of accurately estimating the true spatial correlation. Conventional kriged models are the most commonly used in mining for estimating grade or other variables at unsampled locations, and these models use the variogram or covariance function to model the spatial correlations in the process of estimation. However, this usage assumes the relationships of the observations of the variable of interest at nearby locations are only influenced by the vector distance between the locations. This means that these models assume linear spatial correlation of grade. In reality, the relationship with an observation of grade at a nearby location may be influenced by both distance between the locations and the value of the observations (ie non-linear spatial correlation, such as may exist for variables of interest in geometallurgy). Hence this may lead to inaccurate estimation of the ore reserve if a kriged model is used for estimating grade of unsampled locations when nonlinear spatial correlation is present. Copula-based methods, which are widely used in financial and actuarial modelling to quantify the non-linear dependence structures, may offer a solution. This method was introduced by Bárdossy and Li (2008) to geostatistical modelling to quantify the non-linear spatial dependence structure in a groundwater quality measurement network. Their copula-based spatial modelling is applied in this research paper to estimate the grade of 3D blocks. Furthermore, real-world mining data is used to validate this model. These copula-based grade estimates are compared with the results of conventional ordinary and lognormal kriging to present the reliability of this method.

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The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

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The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and portfolio selection. More specifically, a time-varying return distribution is modeled through quantile regressions and copulas, using quantile regressions to extract information in marginal distributions and copulas to capture dependence structure. A preference function which captures higher moments is proposed for portfolio selection. An empirical application highlights the additional information provided by the distributional approach which cannot be captured by the traditional moment-based methods.

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A spatial sampling design that uses pair-copulas is presented that aims to reduce prediction uncertainty by selecting additional sampling locations based on both the spatial configuration of existing locations and the values of the observations at those locations. The novelty of the approach arises in the use of pair-copulas to estimate uncertainty at unsampled locations. Spatial pair-copulas are able to more accurately capture spatial dependence compared to other types of spatial copula models. Additionally, unlike traditional kriging variance, uncertainty estimates from the pair-copula account for influence from measurement values and not just the configuration of observations. This feature is beneficial, for example, for more accurate identification of soil contamination zones where high contamination measurements are located near measurements of varying contamination. The proposed design methodology is applied to a soil contamination example from the Swiss Jura region. A partial redesign of the original sampling configuration demonstrates the potential of the proposed methodology.