Results 81 to 90 of about 75,997 (278)
Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
The Scientific World Journal, 2015 This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang +3 more
doaj +1 more source
Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]
In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
core
Pair-Copula Constructions of Multivariate Copulas
, 2010 In this survey we introduce and discuss the pair-copula construction method to build flexible multivariate distributions. This class includes drawable (D), canonical (C) and regular vines developed in [5] and [4]. Estimation and model selection methods are studied both in a classical as well as in a Bayesian setting. This flexible class of multivariate
openaire +2 more sources
An objective Bayesian method for including parameter uncertainty in ensemble model output statistics
Quarterly Journal of the Royal Meteorological Society, EarlyView.Conventional model output statistics and ensemble model output statistics methods for calibrating ensemble forecasts lead to severe underestimation of the probabilities of ensemble extremes (in blue). This is because they ignore statistical parameter uncertainty.
Stephen Jewson +4 more
wiley +1 more source
Data on copula modeling of mixed discrete and continuous neural time series
Data in Brief, 2016 Copula is an important tool for modeling neural dependence. Recent work on copula has been expanded to jointly model mixed time series in neuroscience (“Hu et al., 2016, Joint Analysis of Spikes and Local Field Potentials using Copula” [1]).
Meng Hu, Mingyao Li, Wu Li, Hualou Liang
doaj +1 more source
Asymptotic properties of the Bernstein density copula for dependent data [PDF]
, 2008 Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula.
Bouezmarni, Taoufik +2 more
core +2 more sources
Quarterly Journal of the Royal Meteorological Society, EarlyView.The dual graph neural network (dualGNN), trained with a composite loss combining the energy score (ES) and variogram score (VS), consistently outperformed models optimized solely for ES or the continuous ranked probability score in the multivariate setting, as well as empirical copula approaches.
Mária Lakatos
wiley +1 more source
COBASE: A new copula‐based shuffling method for ensemble weather forecast postprocessing
Quarterly Journal of the Royal Meteorological Society, EarlyView.We propose COBASE, a novel copula‐based postprocessing methododology that combines the strengths of multivariate parametric correction with non‐parametric rank‐based approaches. We consider two case studies for multi‐site temperature in Austria and multi‐site temperature and dew‐point temperature in the Netherlands.
Maurits Flos +4 more
wiley +1 more source
Bivariate postprocessing of wind vectors
Quarterly Journal of the Royal Meteorological Society, EarlyView.We introduce three novel bivariate postprocessing approaches and analyze their performance for joint postprocessing of bivariate wind‐vector components in Germany. Bivariate vine‐copula‐based models, a bivariate gradient‐boosted version of ensemble model output statistics (EMOS), and a bivariate distributional regression network (DRN) are compared with
Ferdinand Buchner +3 more
wiley +1 more source
Statistical post‐processing of operational dual‐resolution wind‐speed ensemble forecasts
Quarterly Journal of the Royal Meteorological Society, EarlyView.The performance of raw and post‐processed 50‐member medium‐ and 100‐member extended‐range 10‐m wind‐speed forecasts of the European Centre for Medium‐Range Weather Forecasts and their various dual‐resolution combinations is investigated. Results show that post‐processing improves skill and reduces the differences between the various configurations ...
Sándor Baran, Mária Lakatos
wiley +1 more source