Related papers: Computation of copulas by Fourier methods
In this paper, we propose a numerical method of Fourier transform based on hyperfunction theory. In the proposed method, we compute analytic functions called the defining functions, which give the desired Fourier transform as a…
In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies investigate how copula-based time series models can be…
The semivarying coefficient models are widely used in the application of finance, economics, medical science and many other areas. The functional coefficients are commonly estimated by local smoothing methods, e.g. local linear estimator.…
Copula-based modeling has seen rapid advances in recent years. However, in big data applications, the lengthy computation time for estimating copula parameters is a major difficulty. Here, we develop a novel method to speed computation time…
In this paper, we introduce and study a convoluted version of the time fractional Poisson process by taking the discrete convolution with respect to space variable in the system of fractional differential equations that governs its state…
Let Y be a random variable whose moment generating function exists in a neighborhood of the origin. The aim of this paper is to represent arbitrary polynomials in terms of probabilistic Frobenius-Euler polynomials associated with Y and…
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon…
In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show…
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\xi} with memory as e.g. a L\'evy semi-stationary process.…
Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…
In this paper we study the cumulative conditional expectation function (CCEF) in the copula context. It is shown how to compute CCEF in terms of the cumulative copula function, this natural representation allows to deduce some useful…
Limiting real interpolation method is applied to describe the behaviour of the Fourier coefficients of functions that belong to spaces which are "very close" to L2.
We provide an algorithm for computing semi-Fourier sequences for expressions constructed from arithmetic operations, exponentiations and integrations. The semi-Fourier sequence is a relaxed version of Fourier sequence for polynomials…
In the paper we study stochastic convolution appearing in Volterra equation driven by so called L\'evy process. By L\'evy process we mean a process with homogeneous independent increments, continuous in probability and cadlag.
Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around $\mathbb{R}\subset \mathbb{C}$. The Fourier transform techniques reduces calculation…
We propose an inference procedure for estimators defined by mathematical programming problems, focusing on the important special cases of linear programming (LP) and quadratic programming (QP). In these settings, the coefficients in both…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
A powerful statistical interpolating concept, which we call \emph{fully lifted} (fl), is introduced and presented while establishing a connection between bilinearly indexed random processes and their corresponding fully decoupled (linearly…
We cover some useful techniques in computational aspects of analytic number theory, with specific emphasis on ideas relevant to the evaluation of L-functions. These techniques overlap considerably with basic methods from analytic number…
We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump type models have already been suggested, but none is suited to…