IDEAS home Printed from https://ideas.repec.org/a/inm/ordeca/v9y2012i3p219-230.html
   My bibliography  Save this article

Conditionalization of Copula-Based Models

Author

Listed:
  • Dorota Kurowicka

    (Delft Institute of Applied Mathematics, Delft University of Technology, 2628 CD Delft, The Netherlands)

Abstract

Copula models are becoming increasingly popular in engineering and financial applications. They provide a flexible way of constructing joint distributions with arbitrary one-dimensional margins and a wide variety of dependence structures. This paper studies different types of conditionalization of copula-based models. We conditionalize these models in the usual way on point values but also propose a different type of conditionalization on a new margin. This new type of conditionalization is motivated by experience with a model built for application in modeling risk in civil aviation. Changing one margin in a copula model is very easy; however, it is not equivalent to conditionalizing on a new margin. For this purpose, the technique presented by Holland and Wang [Holland PW, Wang YJ (1987) Dependence function for continuous bivariate densities. Commun. Statist. Theory Methods 16(3):867--876], called marginal replacement, is used. The main result of this paper allows a simplified way of conditionalizing on more than one univariate margin in a normal copula model.

Suggested Citation

  • Dorota Kurowicka, 2012. "Conditionalization of Copula-Based Models," Decision Analysis, INFORMS, vol. 9(3), pages 219-230, September.
    • Handle: RePEc:inm:ordeca:v:9:y:2012:i:3:p:219-230
    DOI: 10.1287/deca.1120.0243
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/deca.1120.0243
    Download Restriction: no
    File URL: https://libkey.io/10.1287/deca.1120.0243?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Ale, B.J.M. & Bellamy, L.J. & van der Boom, R. & Cooper, J. & Cooke, R.M. & Goossens, L.H.J. & Hale, A.R. & Kurowicka, D. & Morales, O. & Roelen, A.L.C. & Spouge, J., 2009. "Further development of a Causal model for Air Transport Safety (CATS): Building the mathematical heart," Reliability Engineering and System Safety, Elsevier, vol. 94(9), pages 1433-1441.
    2. Ale, B.J.M. & Bellamy, L.J. & Cooper, J. & Ababei, D. & Kurowicka, D. & Morales, O. & Spouge, J., 2010. "Analysis of the crash of TK 1951 using CATS," Reliability Engineering and System Safety, Elsevier, vol. 95(5), pages 469-477.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. L. Robin Keller & Ali Abbas & J. Eric Bickel & Vicki M. Bier & David V. Budescu & John C. Butler & Enrico Diecidue & Robin L. Dillon-Merrill & Raimo P. Hämäläinen & Kenneth C. Lichtendahl & Jason R. W, 2012. "From the Editors ---Brainstorming, Multiplicative Utilities, Partial Information on Probabilities or Outcomes, and Regulatory Focus," Decision Analysis, INFORMS, vol. 9(4), pages 297-302, December.
    2. L. Robin Keller & Kelly M. Kophazi, 2012. "From the Editors ---Copulas, Group Preferences, Multilevel Defenders, Sharing Rewards, and Communicating Analytics," Decision Analysis, INFORMS, vol. 9(3), pages 213-218, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhang, Xiaoge & Mahadevan, Sankaran, 2021. "Bayesian network modeling of accident investigation reports for aviation safety assessment," Reliability Engineering and System Safety, Elsevier, vol. 209(C).
    2. L. Robin Keller & Kelly M. Kophazi, 2012. "From the Editors ---Copulas, Group Preferences, Multilevel Defenders, Sharing Rewards, and Communicating Analytics," Decision Analysis, INFORMS, vol. 9(3), pages 213-218, September.
    3. Rogerson, Ellen C. & Lambert, James H., 2012. "Prioritizing risks via several expert perspectives with application to runway safety," Reliability Engineering and System Safety, Elsevier, vol. 103(C), pages 22-34.
    4. Zhang, Yimin & Shortle, John & Sherry, Lance, 2015. "Methodology for collision risk assessment of an airspace flow corridor concept," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 444-455.
    5. Zhou, Jianfeng & Reniers, Genserik & Khakzad, Nima, 2016. "Application of event sequence diagram to evaluate emergency response actions during fire-induced domino effects," Reliability Engineering and System Safety, Elsevier, vol. 150(C), pages 202-209.
    6. Bandeira, Michelle Carvalho Galvão Silva Pinto & Correia, Anderson Ribeiro & Martins, Marcelo Ramos, 2018. "General model analysis of aeronautical accidents involving human and organizational factors," Journal of Air Transport Management, Elsevier, vol. 69(C), pages 137-146.
    7. Pandya, Dhruv & Podofillini, Luca & Emert, Frank & Lomax, Antony J. & Dang, Vinh N. & Sansavini, Giovanni, 2020. "Quantification of a human reliability analysis method for radiotherapy applications based on expert judgment aggregation," Reliability Engineering and System Safety, Elsevier, vol. 194(C).
    8. Stroeve, Sybert H. & Som, Pradip & van Doorn, Bas A. & (Bert) Bakker, G.J., 2016. "Strengthening air traffic safety management by moving from outcome-based towards risk-based evaluation of runway incursions," Reliability Engineering and System Safety, Elsevier, vol. 147(C), pages 93-108.
    9. Hanea, D.M. & Jagtman, H.M. & Ale, B.J.M., 2012. "Analysis of the Schiphol Cell Complex fire using a Bayesian belief net based model," Reliability Engineering and System Safety, Elsevier, vol. 100(C), pages 115-124.
    10. Hossein Hassani & Xu Huang & Mansi Ghodsi, 2018. "Big Data and Causality," Annals of Data Science, Springer, vol. 5(2), pages 133-156, June.
    11. Rios Insua, D. & Alfaro, C. & Gomez, J. & Hernandez-Coronado, P. & Bernal, F., 2018. "A framework for risk management decisions in aviation safety at state level," Reliability Engineering and System Safety, Elsevier, vol. 179(C), pages 74-82.
    12. Pacheco, Ricardo Rodrigues & Fernandes, Elton & Domingos, Eduardo Marques, 2014. "Airport airside safety index," Journal of Air Transport Management, Elsevier, vol. 34(C), pages 86-92.
    13. Roger M Cooke & Bruce Wielicki, 2018. "Probabilistic reasoning about measurements of equilibrium climate sensitivity: combining disparate lines of evidence," Climatic Change, Springer, vol. 151(3), pages 541-554, December.
    14. Bauranov, Aleksandar & Rakas, Jasenka, 2024. "Bayesian network model of aviation safety: Impact of new communication technologies on mid-air collisions," Reliability Engineering and System Safety, Elsevier, vol. 243(C).
    15. Hanea, Anca & Morales Napoles, Oswaldo & Ababei, Dan, 2015. "Non-parametric Bayesian networks: Improving theory and reviewing applications," Reliability Engineering and System Safety, Elsevier, vol. 144(C), pages 265-284.
    16. Mkrtchyan, L. & Podofillini, L. & Dang, V.N., 2015. "Bayesian belief networks for human reliability analysis: A review of applications and gaps," Reliability Engineering and System Safety, Elsevier, vol. 139(C), pages 1-16.
    17. Ferjencik, Milos, 2014. "IPICA_Lite—Improvements to root cause analysis," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 1-13.
    18. Miriam Andrejiova & Anna Grincova & Daniela Marasova & Peter Koščák, 2021. "Civil Aviation Occurrences in Slovakia and Their Evaluation Using Statistical Methods," Sustainability, MDPI, vol. 13(10), pages 1-17, May.
    19. Montewka, Jakub & Goerlandt, Floris & Kujala, Pentti, 2014. "On a systematic perspective on risk for formal safety assessment (FSA)," Reliability Engineering and System Safety, Elsevier, vol. 127(C), pages 77-85.
    20. Luo, Pengcheng & Hu, Yang, 2013. "System risk evolution analysis and risk critical event identification based on event sequence diagram," Reliability Engineering and System Safety, Elsevier, vol. 114(C), pages 36-44.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ordeca:v:9:y:2012:i:3:p:219-230. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.