In the era of big data, the demand for vast quantities of diverse and representative datasets has surged across various domains, from healthcare and finance to artificial intelligence and machine learning. Synthetic data generation offers a promising...
Cox processes, also called doubly stochastic Poisson processes, are used for describing phenomena for which overdispersion exists, as well as Poisson properties conditional on environmental effects. In this paper, we consider situations where spatial...
This paper concentrates on the capacity credit (CC) evaluation of wind energy, where a new method for constructing the joint distribution of wind speed and load is proposed. The method is based on the skew-normal mixture model (SNMM) and D-vine copul...
The rationality of heavy vehicle models is crucial to the structural safety assessment of bridges. To establish a realistic heavy vehicle traffic flow model, this study proposes a heavy vehicle random traffic flow simulation method that fully conside...
In this paper, we study the performance of Bayesian computational methods to estimate the parameters of a bivariate survival model based on the Ali–Mikhail–Haq copula with marginal distributions given by Weibull distributions. The estimat...
Copula models are increasingly recognized for their ability to capture complex dependencies among random variables. In this study, we introduce three innovative bivariate models utilizing copula functions: the XLindley (XL) distribution with Frank, G...
Simulation-dependent energy analysis has long dominated building retrofit research, yet this paradigm presents substantial barriers for non-expert building owners who lack technical software proficiency and detailed building documentation-a challenge...
It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is esp...
The composition of high rockfill dam materials is complex, and the mechanical parameters are uncertain and correlated in unknown ways due to the influences of the environment and construction, leading to complex deformation mechanisms in the dam&ndas...
The world has faced a coronavirus outbreak, which, in addition to lung complications, has caused other serious problems, including cardiovascular. There is still no explanation for the mechanisms of coronavirus that trigger dysfunction of the cardiac...
The Korean Peninsula, characterized by low-to-moderate seismicity, faces a shortage of strong ground motion records, posing challenges for the seismic safety assessment of critical infrastructures. Given the rarity of large-magnitude earthquakes, gen...
Ensuring the stability of coal mine roofs is a critical technical prerequisite for safe underground operations and the structural stability of underground engineering systems in mining areas. However, roof instability is governed by the variability a...
The goal of this paper is to investigate the changes of entropy estimates when the amplitude distribution of the time series is equalized using the probability integral transformation. The data we analyzed were with known properties—pseudo-rand...
The Mann–Whitney effect is a measure for comparing survival distributions between two groups. The Mann–Whitney effect is interpreted as the probability that a randomly selected subject in a group survives longer than a randomly selected s...
Conditional copulas are useful tools for modeling the dependence between multiple response variables that may vary with a given set of predictor variables. Conditional dependence measures such as conditional Kendall’s tau and Spearman’s r...
Kriging has some problems such as ignoring sample values in giving weights to them, reducing dependence structure to a single covariance function, and facing negative confidence bounds. In view to these problems of kriging in this study to estimate C...
Renewable wind power output is characterized by strong randomness, volatility, and spatial dependence, which makes accurate two-adjacent wind farm scenario generation essential for stochastic dispatch and secure operation of power systems. To describ...
We present a new single-parameter bivariate copula, called the Stingray, that is dedicated to representing negative dependence, and it nests the Independence copula. The Stingray copula is generated in a relatively novel way; it has a simple form and...
We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce...
In the fields of finance, insurance, system reliability, etc., it is often of interest to measure the dependence among variables by modeling a multivariate distribution using a copula. The copula models with parametric assumptions are easy to estimat...
This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). Th...
Survival for cancer patients is predictable by gene expressions obtained from DNA microarrays for tumor samples. For analyzing survival data with gene expressions, traditional survival analysis methods have been employed. However, these methods rely...
This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular t...
In this paper, a new parametric compound G family of continuous probability distributions called the Poisson generalized exponential G (PGEG) family is derived and studied. Relevant mathematical properties are derived. Some new bivariate G families u...
For multidimensional dependent cases with incomplete probability information of random variables, global sensitivity analysis (GSA) theory is not yet mature. The joint probability density function (PDF) of multidimensional variables is usually unknow...
This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint...
The design of coastal protection structures requires design parameters that accurately represent the hydrodynamic conditions along the coast. Currently, these input variables are based on univariate probability models, which do not consider the joint...
Questionnaire consumer survey research is primarily used for marketing research. To obtain credible results, collecting responses from numerous participants is necessary. However, two crucial challenges prevent marketers from conducting large-sample...
This paper proposes a fuzzy copula-based optimization framework for modeling dependence structures and financial risk under parameter uncertainty. The parameters of selected copula families are represented as trapezoidal fuzzy numbers, and their &alp...
Accurate photovoltaic power probability forecasting assists dispatch departments in making rational decisions. Joint probability distributions constructed using Copula functions can flexibly characterize complex nonlinear correlations and tail depend...
This study attempts to reveal the consequences of coronavirus disease 2019 (COVID-19) on micro, small, and medium enterprises (MSMEs) in Chiang Mai, Thailand. A total of 786 MSMEs were surveyed during May and August 2022, corresponding to the period...
Limited by the actual investigation of coal mine engineering, the measured data obtained are often based on small sample characteristics. How to probabilistically de-integrate the prior information to obtain meaningful statistical values has received...
A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Bas...
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation...
In this study, an advanced copula-based Bayesian inference framework is proposed to characterize probabilistic features in hydrological simulations. Specifically, a Copula–Metropolis–Hastings (CopMH) algorithm is developed through integra...
Rainfall interception is an important process of the water cycle that can have significant influence on surface runoff and groundwater storage. Since rainfall interception measurements are rare and time consuming, rainfall interception estimation can...
This study analyzed sea salt production and compared the technical efficiency level and the technology gap between traditional technology and High-Density Polyethylene Geomembranes (HDPE GMB) technology in the Phetchaburi province using a copula-base...
Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple...
Multivariate quantiles are of increasing importance in applications of hydrology. This calls for reliable methods to evaluate the precision of the estimated quantile sets. Therefore, we focus on two recently developed approaches to estimate confidenc...
This paper proposes several methodologies whose objective consists of securing copula density estimates. More specifically, this aim will be achieved by differentiating bivariate least-squares polynomials fitted to Deheuvels’ empirical copulas,...
To more effectively account for the correlation between components in the seismic reliability analysis of reinforced concrete arch bridges, this study proposes a system seismic reliability analysis method based on the D-vine Copula function. First, b...
This study aims to investigate the causality and dependence structure of gold shocks and Asian emerging stock markets. The positive and negative shocks of gold prices are quantified, and Granger causality-based Vector autoregressive and Copula approa...
Copula functions have been extensively used to describe the joint behaviors of extreme hydrological events and to analyze hydrological risk. Advanced marginal distribution inference, for example, the maximum entropy theory, is particularly beneficial...
The fluctuations in oil have strong implications on many financial assets not to mention its relationship with gold prices, exchange rates, stock markets, and investor sentiment. Recent evidence suggests nonlinear contagion among the factors stated a...
We propose a novel contextual multi-armed bandit (CMAB) framework that integrates copula-based context generation with Gaussian Process (GP) regression for reward modeling, addressing complex dependency structures and uncertainty in sequential decisi...
Cross-basin tropical cyclone variability may exhibit complex, non-linear dependence structures influenced by large-scale climate modes and potential regime shifts. Reliance on traditional linear correlation measures without accounting for structural...
Local Interpretable Model-agnostic Explanations (LIME) is a widely used technique for interpreting individual predictions of complex “black-box” models by fitting a simple surrogate model to synthetic perturbations of the input. However,...
The verification and validation processes of fully automated vehicles are linked to an almost intractable challenge of reflecting the real world with all its interactions in a virtual environment. Influential stochastic parameters need to be extracte...
This paper discusses the estimation of parameters in the quantile regression model for dependent truncated data. To account for the dependence between the survival time and the truncated time, the Archimedean copula model is used to construct the ass...
The intermittent and uncertain properties of wind power have presented enormous obstacles to the planning and steady operation of power systems. In this context, as an effective technique to study wind power uncertainty, the development of an accurat...
of 4