Results 81 to 90 of about 25,862 (264)
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
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine
Journal of Statistical Software, 2013 Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian distribution is however very restrictive and cannot account for features like asymmetry and heavy tails.
Eike Christian Brechmann +1 more
doaj
Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2016 This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro +2 more
doaj +1 more source
Integrating Systemic Risk and Risk Analysis Using Copulas
International Journal of Disaster Risk Science, 2018 Systemic risk research is gaining traction across diverse disciplinary research communities, but has as yet not been strongly linked to traditional, well-established risk analysis research.
Stefan Hochrainer-Stigler +8 more
doaj +1 more source
Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
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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
WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE
REAdThis study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014.
Fernanda Maria Müller +2 more
doaj +1 more source
Archimedean Survival Processes [PDF]
, 2011 Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J.
Hoyle, Edward, Menguturk, Levent Ali
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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
Ensemble Copula Coupling as a Multivariate Discrete Copula Approach [PDF]
, 2013 In probability and statistics, copulas play important roles theoretically as well as to address a wide range of problems in various application areas. In this paper, we introduce the concept of multivariate discrete copulas, discuss their equivalence to ...
Schefzik, Roman
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