Novel pruning and truncating of the mixture of vine copula clustering models [PDF]
Scientific Reports, 2022 The mixture of the vine copula densities allows selecting the vine structure, the most appropriate type of parametric marginal distributions, and the pair-copulas individually for each cluster. Therefore, complex hidden dependence structures can be fully
Fadhah Amer Alanazi
doaj +2 more sources
Synchronization frequency analysis and stochastic simulation of multi-site flood flows based on the complicated vine copula structure [PDF]
Hydrology and Earth System SciencesAccurately modeling and predicting flood flows across multiple sites within a watershed presents significant challenges due to potential issues of insufficient accuracy and excessive computational demands in existing methodologies.
X. Yu, Y.-P. Xu, Y. Guo, S. Chen, H. Gu
doaj +2 more sources
Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies. [PDF]
PLoS ONE, 2020 Risk in finance may come from (negative) asset returns whilst payment loss is a typical risk in insurance. It is often that we encounter several risks, in practice, instead of single risk.
Khreshna Syuhada, Arief Hakim
doaj +2 more sources
A multinomial quadrivariate D-vine copula mixed model for meta-analysis of diagnostic studies in the presence of non-evaluable subjects. [PDF]
Stat Methods Med Res, 2020 Diagnostic test accuracy studies observe the result of a gold standard procedure that defines the presence or absence of a disease and the result of a diagnostic test.
Nikoloulopoulos AK.
europepmc +4 more sources
Sequential Truncation of R-Vine Copula Mixture Model for High-Dimensional Datasets
International Journal of Mathematics and Mathematical Sciences, 2021 Uncovering hidden mixture dependencies among variables has been investigated in the literature using mixture R-vine copula models. They provide considerable flexibility for modeling multivariate data.
Fadhah Amer Alanazi
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Joint Probability Distribution of Wind–Wave Actions Based on Vine Copula Function
Journal of Marine Science and EngineeringDuring its service life, a deep-sea floating structure is likely to encounter extreme marine disasters. The combined action of wind and wave loads poses a threat to its structural safety.
Yongtuo Wu +3 more
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Analyzing risk contagion and volatility spillover across multi-market capital flow using EVT theory and C-vine Copula. [PDF]
HeliyonThere exists a potential interdependence among the United States markets, alongside an exceptional dependence on the East Asian stock markets. This transmission of risks is similarly evident in funds that are traded within markets.
Afzal F, Pan H, Afzal F, Gul RF.
europepmc +2 more sources
Learning Vine Copula Models For Synthetic Data Generation
Proceedings of the AAAI Conference on Artificial Intelligence, 2018 A vine copula model is a flexible high-dimensional dependence model which uses only bivariate building blocks. However, the number of possible configurations of a vine copula grows exponentially as the number of variables increases, making model ...
Cuesta-Infante, Alfredo +2 more
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Simplified vine copula models: State of science and affairs
Risk SciencesVine copula models have become highly popular practical tools for modeling multivariate dependencies. To maintain tractability, a commonly employed simplifying assumption is that conditional copulas remain unchanged by the conditioning variables.
Thomas Nagler
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Vine Copula-Based Classifiers with Applications
Journal of ClassificationAbstract The vine pair-copula construction can be used to fit flexible non-Gaussian multivariate distributions to a mix of continuous and discrete variables. With multiple classes, fitting univariate distributions and a vine to each class lead to posterior probabilities over classes that can be used for discriminant analysis.
Özge Şahin, Harry Joe
semanticscholar +4 more sources