Results 1 to 10 of about 493 (178)
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
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MATVines: A vine copula package for MATLAB
SoftwareX, 2021 Vine copulas provide a way to model a d-dimensional copula with bivariate building blocks and have been applied to a wide range of research topics. The MATVines package is presented, which implements vine copula functionalities for MATLAB. In particular,
Maximilian Coblenz
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Simulation of potential evapotranspiration values based on vine copula
Meteorological Applications, 2021 Vine copula had a great impact on the study and analysis of dependence structures in various sciences. In multivariate analyses with dimensions of more than two variables, it is associated with computational complexities that solve vine copulas and these
Abbas Khasheisiuki +2 more
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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
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Mathematics, 2021 For multidimensional dependent cases with incomplete probability information of random variables, global sensitivity analysis (GSA) theory is not yet mature.
Shufang Song, Sergei Kucherenko
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Copulas for Covariate Simulation in Pharmacometrics. [PDF]
CPT Pharmacometrics Syst PharmacolABSTRACT Patient‐specific covariates are commonly incorporated in pharmacometric and quantitative system pharmacology models to predict differences in pharmacokinetic or pharmacodynamic profiles between patients. When simulating new virtual populations of patients, generating realistic covariate sets that accurately reflect the correlation structures ...
Guo Y, Guo T, van Hasselt JGC, Zwep LB.
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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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D-vine copula based quantile regression [PDF]
Computational Statistics and Data Analysis, 2017 Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily ...
Claudia Czado, Daniel Kraus
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Correlation analysis of diabetes based on Copula [PDF]
Frontiers in EndocrinologyIntroductionThe 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 +3 more
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Pairs Trading; A Comparison between Student-t and Vine Copulas [PDF]
تحقیقات مالی, 2022 Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE).
Maryam Davallou, Ardavan Yazdi
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