Results 111 to 120 of about 89,598 (168)

Empirical study of GAM vine copula models for S&P 100 data

, 2017
Vine copula is useful in modelling high dimensional distribution and dependence. Generalized additive models is a flexible method for doing regression.
Ligeng Zhong
core  

Analysis of living cost by countries using vine copula approach

Living cost is defined as the amount of money needed to cover expenses for essential needs. At the onset of the pandemic, the cost of living rose while wages stagnated. As a result, people lost jobs.
Khairuddin, Redza-Safwan, Shinyie, Wendy Ling   +1 more
core   +1 more source

D-Vine Copula basierte Quantilsregression und die Simplifying Assumption für Vine Copulas

, 2017
In the first part of this thesis we propose a novel semiparametric approach to perform quantile regression using D-vine copulas, a subclass of the flexible class of vine copula models. Various applications and the extension to discrete data are presented.
Kraus, Daniel
core  

Pruning and Truncating the Mixture R-Vine Model Using the Mixture Weight

Journal of Probability and Statistics
Vine copula mixture models are highly flexible and can handle complex hidden dependencies among variables without restricting the parametric shape of the margins or the type of dependency structure.
Fadhah Alanazi
doaj   +1 more source

Standardfehlerschätzung und effiziente Gütetests für reguläre Vine -Copula Modelle

, 2015
In this thesis we consider regular vine (R-vine) copula models, which are constructed hierarchically from only bivariate copulas. We introduce theory and algorithms for the computation of the score function and the observed information matrix in R-vine ...
Schepsmeier, Ulf
core  

Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis [PDF]

The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines.
Schnieders, Julius, Grothe, Oliver
core  

Modeling the joint influence of multiple synoptic-scale, climate mode indices on Australian wheat yield using a vine copula-based approach

, 2018
Twelve large-scale climate drivers are employed to investigate their spatio-temporal influence on the variability of seasonal wheat yield in five major wheat-producing states across Australia using data for the period 1983–2013.
Deo, Ravinesh C., An-Vo, Duc-Anh, Mushtaq, Shahbaz, Ravinesh C Deo, Thong Nguyen-Huy, Nguyen-Huy, Thong, Duc-Anh An-Vo, Shahbaz Mushtaq, Shahjahan Khan, Khan, Shahjahan   +9 more
core   +1 more source

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

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

Vine Copula-Based Dependence Description for Multivariate Multimode Process Monitoring

, 2015
A novel vine copula-based dependence description (VCDD) process monitoring approach is proposed. The main contribution is to extract the complex dependence among process variables rather than perform dimensionality reduction or other decoupling processes.
Shaojun Li (545986), Xiang Ren (358465), Ying Tian (180972)   +2 more
core   +1 more source