Search results for "Copula"
showing 10 items of 59 documents
Mating strategies and resulting patterns in mate guarding crustaceans : an empirical and theoretical approach
2012
Because of strong costs associated with each mating event, females are usually not as available for reproduction as males at any given time. Males are therefore in competition with each other for access to receptive females, hence leading to strong sexual selection. One textbook case of such a mating system occurs in moulting crustaceans where females can only be fertilized during a short period following their moult. This has favoured the evolution male strategies to monopolize females before their period of receptivity. Such a precopulatory mate guarding is widespread among many taxa and represents one of the most striking example of males’ competitive traits favoured by sexual selection.…
Effect of host plant quality on male sexual performances and consequences on female reproductive output in a phytophagous moth
2016
The abundance of phytophagous insects is determined by numerous interacting biotic and abiotic factors. In capital-breeding phytophagous insects, larval host plant quality is a key determinant of the adult phenotype and the performance of both males and females. Curiously, if the effect of host plant quality on female reproductive success is well-established, little effort has been conducted to determine this effect on male reproductive success. Moreover, in Lepidoptera, males transfer to females a spermatophore containing sperm and accessory gland products rich in nutrients that could be reinvested into female reproduction. The aim of this thesis was to evaluate how male larval nutrition o…
Multivariate statistical analysis for water demand modelling: implementation, performance analysis, and comparison with the PRP model
2015
Water demand is the driving force behind hydraulic dynamics in water distribution systems. Consequently, it is crucial to accurately estimate the actual water use to develop reliable simulation models. In this study, copula-based multivariate analysis was proposed and used for demand prediction for a given return period. The analysis was applied to water consumption data collected in the water distribution network of Palermo (Italy). The approach produced consistent demand patterns and could be a powerful tool when coupled with water distribution network models for design or analysis problems. The results were compared with those obtained using a classical water demand model, the Poisson re…
Multivariate Statistical Analysis for Water Demand Modeling
2014
The actual level of water demand is the driving force behind the hydraulic dynamics in water distribution systems. Consequently, it is crucial to estimate it as accurately as possible in order to result in reliable simulation models. In this paper, a copula-based multivariate analysis has been proposed and used for demand prediction for given return period. The analysis is applied to water consumption data collected in the water distribution network of Palermo (Italy). The approach showed to produce consisted demand patterns and to be a powerful tool to be coupled with water distribution network models for design or analysis problems. (C) 2014 Published by Elsevier Ltd.
Uncertainty connected with design rainfall for urban flood risk evaluation
2010
On VaR using modified gaussian copula
2008
The problem of modeling asset returns is one of the most important issue in finance. People generally use Gaussian processes because of their tractable properties for computation. However, it is well known that asset returns are fat-tailed leading to an underestimation of the risk. One of the most recent proposals is to model the interdependence of asset returns, for example in a portfolio, by means of Copulas and choose marginal distributions with fat tail to fit the single asset returns. The aim of the paper is to show first results concerning the evaluation of Portfolio Value-at-Risk (VaR) using the Gaussian copula, modified by introducing a particular correlation coefficient, and assumi…
Extending graphical models for applications: on covariates, missingness and normality
2021
The authors of the paper “Bayesian Graphical Models for Modern Biological Applications” have put forward an important framework for making graphical models more useful in applied settings. In this discussion paper, we give a number of suggestions for making this framework even more suitable for practical scenarios. Firstly, we show that an alternative and simplified definition of covariate might make the framework more manageable in high-dimensional settings. Secondly, we point out that the inclusion of missing variables is important for practical data analysis. Finally, we comment on the effect that the Gaussianity assumption has in identifying the underlying conditional independence graph…
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach
2019
Abstract This paper develops a novel approach to assess liquidity-adjusted Value-at-Risk (LVaR) optimization of multi-asset portfolios based on vine copulas and LVaR models. This framework is applied to stock markets of the G-7 countries, gold, commodities and Bitcoin. The results show that our approach is superior to the classical mean–variance Markowitz portfolio technique in terms of the optimal portfolio selection under a number of realistic operational and budget constraints. We find that both Bitcoin and gold improves the risk-return performance of the G-7 stock portfolio. However, Bitcoin (gold) performs better under a scenario of only long-positions (when short-selling is allowed).
Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
2017
Abstract Many applications in risk analysis require the estimation of the dependence among multivariate maxima, especially in environmental sciences. Such dependence can be described by the Pickands dependence function of the underlying extreme-value copula. Here, a nonparametric estimator is constructed as the sample equivalent of a multivariate extension of the madogram. Shape constraints on the family of Pickands dependence functions are taken into account by means of a representation in terms of Bernstein polynomials. The large-sample theory of the estimator is developed and its finite-sample performance is evaluated with a simulation study. The approach is illustrated with a dataset of…
Dynamic copula models for the spark spread
2011
We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian autoregressive process. We identify the marginal dynamics as driven by normal inverse Gaussian processes, estimating them from a series of observed UK electricity and gas spot data. We estimate the copula by modeling the difference between the empirical copula and the independent copula. We then simulate the joint process and price options written on the spark spread. We find that option prices are significantly influenced by the copula and the marginal distributions, along with the seasonality of the underlying prices.