An Archimedean Copula Family with Hyperbolic Cotangent Generator

Najjari, Vadoud; Bacigál, Tomáš; Bal, Hasan

doi:10.1142/s0218488514500391

Cited by 8 publications

(6 citation statements)

References 5 publications

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“…Details of these families are summarized in Table 2. As stated before, there are two new Archimedean families with hyperbolic generators, namely coth-copula and csch-copula families, recently presented to the literature by Najjari et al (2014), and Bal and Najjari (2013) respectively. These new families show more flexibility in modeling dependence structures.…”

Section: Outputmentioning

confidence: 98%

Investigating of the Best Location of Solar Plants in Turkey by Different Multiple Decision Methods

Najjari

Mirzapour

2020

Politeknik Dergisi

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Exponential development of solar photovoltaic projects during the past decades has vastly relied on findings from location identification analyses. This article draws upon the most important site selection factors in order to identify optimum locations for development of solar plants in Turkey from a subset of thirty selected Turkish cities. This study applies CCR, BCC, stochastic frontier analysis (SFA) and Kourosh and Arash Model (KAM) methods in decisionmaking. KAM method is a new powerful technique in measuring efficiency of firms (DMUs) and has obtained an important role in economy and managements. It also benefits from the novelty of using copula technique in the SFA methods which has been only recently presented to the literature.

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Section: Outputmentioning

confidence: 98%

Investigating of the Best Location of Solar Plants in Turkey by Different Multiple Decision Methods

Najjari

Mirzapour

2020

Politeknik Dergisi

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“…The Cot copula function has a trigonometric generator and was proposed by Pirmoradian and Hamzah (2011). Also, Csch-copula and Coth-copula families have hyperbolic generators and were proposed by Hasan and Najjari (2013) and Najjari et al (2014), respectively. Their details are provided in Table 3.…”

Section: Production Model Specificationmentioning

confidence: 99%

Measuring stock performance using stochastic frontier analysis model with dependent error approach

Arsad¹,

Isa²,

Abidin³

et al. 2022

Int. j. adv. appl. sci.

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This paper focuses on analyzing the technical efficiency of Malaysian stock performance over the period of 2013 to 2018. By utilizing the stochastic frontier analysis (SFA) production function Cobb-Douglas, the inefficiency effect of time-invariant is allowed and predicted to estimate the technical efficiency score as well as provide a ranking efficiency based on the model estimation performance. In SFA, the two main errors, random error and inefficiency error are assumed to be independent, and this assumption is not practical in a real-life situation. The assumption for random error is normally distributed and the inefficiency error is half-normal distributed. Therefore, in this paper, when the assumption of SFA is dependent on both errors, the copula is applied to capture the joint distribution of these two error components. These main findings revealed that stock efficiency estimates using copula SFA (CSFA) are appropriate because it uses more practical assumptions and among the seven models, through the AIC method, the Cot copula was selected as the best model. This paper provides new evidence on comparison ranking of technical efficiency based on the three models, yielded by copulas with SFA (CSFA-Cot copula), SFA, and DEA-CCR models. Spearman’s rank order was implemented and revealed that there was a high degree of correlation found among the rank efficiency estimates derived from the models of CSFA and SFA applied. However, the scores produced by both models are different. Accurate scores are necessary in order to make correct decisions and predictions. Therefore, the dependence error between random error and inefficiency error cannot be ignored, and the Cot copula in SFA models can be considered as an alternative suitable tool for measuring efficiency performance.

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“…In this section, we fit Cotangent copula and the Cotangent hyperbolic copula to two data sets used in Najjari et al [3]. According to this paper, two data sets share n = 113 annual (May-October) maxima of the Vltava river (Bohemia) flow rate (measured above the dam Kamyk in period 1890-2007) for which the corresponding flood volume was computed (from daily flow averages) by two methods.…”

Section: Real Data Examplementioning

confidence: 99%

“…So, they derived approximated formula of Kendall's tau. Despite Najjari et al [3] obtained a closed-form of Kendall's tau, interval of Kendall's tau covers [1/3,1]. On the other hand, lower tail dependence is constant and equals to 1/2.…”

Section: Introductionmentioning

confidence: 97%

“…First time in the literature, Bal and Najjari [2] introduced Archimedean copula with hyperbolic cosecant generator function as ℎ ( ) = ℎ( ) − ℎ(1) , > 0. Najjari et al [3] proposed hyperbolic cotangent function as a generator of new Archimedean copula as ℎ ( ) = ℎ( ) − ℎ( ) , > 0. Some dependence properties of this new family were investigated in their work.…”

Section: Introductionmentioning

confidence: 99%

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