Results 1 to 10 of about 89,598 (168)

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, Ulf Schepsmeier   +1 more
doaj  

Correlation analysis of diabetes based on Copula

Frontiers in Endocrinology
IntroductionThe ratio of Triglyceride (TG) to high-density lipoprotein cholesterol (HDL-C) is a crucial indicator for diabetes diagnosis.MethodsThis study utilizes the Copula function to model and fit the non-linear correlation among fasting blood ...
Chang Liu, Hu Yang, Junjie Yang, Hongqing Wang   +3 more
doaj   +1 more source

Vine Copula-Based Outage Analysis for Fluid Antenna RIS-NOMA Systems Over Nakagami-m Fading Channels

IEEE Open Journal of the Communications Society
Outage performance in multi-port fluid antenna (FA) systems is governed by the tail dependence between correlated ports, which Gaussian-copula models cannot capture.
Mohammad Al Bataineh, Zaid Albataineh
doaj   +1 more source

Reliability Assessment for Multivariate Degradation System Based on Uncertainty and Chatterjee Correlation Coefficient

Systems
Considering the effects of complex correlations between variables and uncertainty of degradation processes in multivariate degradation systems, a system reliability assessment method that integrated Chatterjee correlation coefficient and stochastic ...
Jiayin Tang, Mengjia Jiang, Yamin Mao
doaj   +1 more source

Temporal changes in precipitation and correlation with large climate indicators in the Hengshao Drought Corridor, China

Ecological Indicators
Understanding the lagged correlations between regional precipitation and large scale climate indicators (LCI) is crucial for water management and drought risk assessment.
Tianyan Zhang, Li Ren, Zengchuan Dong, Can Cui, Wenzhuo Wang, Zhenzhuo Li, Yalei Han, Yuqing Peng, Jialiang Yang   +8 more
doaj   +1 more source

Model selection tests for truncated vine copulas under nested hypotheses

Dependence Modeling
Vine copulas, constructed using bivariate copulas as building blocks, provide a flexible framework for modeling multi-dimensional dependencies.
Nishi Ichiro, Kawasaki Yoshinori
doaj   +1 more source

Tail Risk in Weather Derivatives

Commodities
Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen   +2 more
doaj   +1 more source

Joint Probability Distribution of Typhoon Disaster Chain "Strong Wind-Rainstorm- Storm Surge" Based on C-Vine Copula Function

Redai dili
Typhoons and their associated disaster chains pose serious threats to the lives and property of coastal residents, and they remain a focal point for research and response.
Zhou Ziying, Yang Saini, Liu Xiaoyan, Tang Jiting, Shi Yongguo   +4 more
doaj   +1 more source

Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach

Financial Innovation
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across five allocation strategies. The
Jules Clement Mba
doaj   +1 more source

Vine Copula Based Modeling

Annual Review of Statistics and Its Application, 2022
With the availability of massive multivariate data comes a need to develop flexible multivariate distribution classes. The copula approach allows marginal models to be constructed for each variable separately and joined with a dependence structure characterized by a copula.
Claudia Czado, Thomas Nagler
exaly   +6 more sources