Results 91 to 100 of about 462 (184)

Factor Copula through a vine structure

, 2012
Copula functions have been widely used in actuarial science, finance and econometrics. Though multivariate copulas allow for a flexible specification of the dependence structure of economic variables, they are not particularly tempting in high dimensional contexts.
openaire   +3 more sources

Modeling Asymmetric Dependence Structure of Air Pollution Characteristics: A Vine Copula Approach

Mathematics
Contaminated air is unhealthy for people to breathe and live in. To maintain the sustainability of clean air, air pollution must be analyzed and controlled, especially after unhealthy events.
Mohd Sabri Ismail, Nurulkamal Masseran, Mohd Almie Alias, Sakhinah Abu Bakar   +3 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

Mixed D-vine copula-based conditional quantile model for stochastic monthly streamflow simulation

Water Science and Engineering
Copula functions have been widely used in stochastic simulation and prediction of streamflow. However, existing models are usually limited to single two-dimensional or three-dimensional copulas with the same bivariate block for all months.
Wen-zhuo Wang, Zeng-chuan Dong, Tian-yan Zhang, Li Ren, Lian-qing Xue, Teng Wu   +5 more
doaj   +1 more source

An econometric Study for Vine Copulas

, 2011
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable ...
Guegan, Dominique, Maugis, Pierre-André
openaire   +2 more sources

Dependence structure analysis of multisite river inflow data using vine copula-CEEMDAN based hybrid model. [PDF]

PeerJ, 2020
Nazir HM, Hussain I, Faisal M, Mohamd Shoukry A, Abdel Wahab Sharkawy M, Fawzi Al-Deek F, Ismail M.   +6 more
europepmc   +1 more source

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
Nikoloulopoulos AK.
europepmc   +1 more source

Vine Copulas as Differentiable Computational Graphs

Vine copulas are sophisticated models for multivariate distributions and are increasingly used in machine learning. To facilitate their integration into modern ML pipelines, we introduce the vine computational graph, a DAG that abstracts the multilevel vine structure and associated computations.
Cheng, Tuoyuan, Vatter, Thibault, Nagler, Thomas, Chen, Kan   +3 more
openaire   +2 more sources

Value-at-Risk with Vine Copulas

, 2023
Especially when considering a portfolio with multiple assets the dependence structure in-between them is crucial regarding the grade of diversification and risk assessment. Models which consist of the multivariate normal distribution are popular because of their simplicity and fast calculation time.
openaire   +1 more source