000002846 001__ 2846
000002846 005__ 20141118153417.0
000002846 04107 $$acze
000002846 046__ $$k2008-12-04
000002846 100__ $$aBacigál, T.
000002846 24500 $$aNon-Exchangeable Random Variables Modelling Using Copulas

000002846 24630 $$n1.$$p70 Years of FCE STU - Proceedings of the International Scientific Conference
000002846 260__ $$bSlovak University of Technology in Bratislava, Faculty of Civil Engineering, 2008 
000002846 506__ $$arestricted
000002846 520__ $$2eng$$aEstimating joint distribution function of a random vector (X, Y ) can be split into estimation of the marginal distribution functions FX and FY, and of the copula CX,Y (in short, C) describing the dependence structure of (X, Y ). Then FX,Y (x, y) = C (FX(x), FY (y)). For the second step majority of existing methods concern the exchangeable random variable case when CX,Y = CY,X (symmetric copulas). Among few classes of asymmetric copulas, we focus on the class of Archimax copulas. To fit copulas to non-exchangeable random variables we first estimate the best fitting Archimedean copula generator, then the asymmetry degree transformed by the generator and finally we choose the appropriate dependence function from parametric classes using the least square approach. The application is implemented in R and demonstrated on hydrological data..

000002846 540__ $$aText je chráněný podle autorského zákona č. 121/2000 Sb.
000002846 653__ $$aCopula, random variable, asymmetry, marginal.

000002846 7112_ $$aInternational Scientific Conference 70 Years of FCE STU$$cBratislava (SK)$$d2008-12-04 / 2008-12-05$$gHMC13
000002846 720__ $$aBacigál, T.$$iMesiar, R.
000002846 8560_ $$ffischerc@itam.cas.cz
000002846 8564_ $$s148199$$uhttps://invenio.itam.cas.cz/record/2846/files/05_A_Bacigal_Mesiar.pdf$$y
             Original version of the author's contribution as presented on CD, .
            
000002846 962__ $$r2540
000002846 980__ $$aPAPER