Results overview: Found 3 records in 0.01 seconds.
Articles, 2 records found
Research literature, 1 records found
Articles 2 records found  
1.
22 p, 209.2 KB On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi / Bahraoui, Zuhair (Universitat de Barcelona. Departament d'Econometria) ; Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Pelican, Elena (Ovidius University of Constanta (Constanta, Romania). Faculty of Mathematics and Computer Science) ; Vernic, Raluca (Ovidius University of Constanta (Constanta, Romania). Faculty of Mathematics and Computer Science)
The Sarmanov family of distributions can provide a good model for bivariate random variables and it is used to model dependency in a multivariate setting with given marginals. In this paper, we focus our attention on the bivariate Sarmanov distribution and copula with different truncated extreme value marginal distributions. [...]
2015
SORT : statistics and operations research transactions, Vol. 39 Núm. 2 (July-December 2015) , p. 209-230 (Articles)  
2.
14 p, 133.9 KB Testing extreme value copulas to estimate the quantile / Bahraoui, Zuhair (Universitat de Barcelona. Departament d'Econometria) ; Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Pérez-Marín, Ana M. (Universitat de Barcelona)
We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. [...]
2014
SORT : statistics and operations research transactions, Vol. 38, Núm. 1 (January-June 2014) , p. 89-102  

Research literature 1 records found  
1.
36 p, 220.8 KB Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches / Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Bahraoui, Zuhair (Universitat de Barcelona. Departament d'Econometria) ; Alemany Leira, Ramon (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing techniques. We derive the optimal bandwidth that minimises the asymptotic integrated mean squared error. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2015 (XREAP ; 2015-01)  

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