Results 121 to 130 of about 89,598 (168)
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
Growing simplified vine copula trees: improving Dißmann's algorithm
, 2017 Vine copulas are pair-copula constructions enabling multivariate dependence modeling in terms of bivariate building blocks. One of the main tasks of fitting a vine copula is the selection of a suitable tree structure.
Kraus, D. and Czado, C.
core
Vine Copula Modeling in Operational Risk
, 2016 Working with zero inated data sets often requires the computation of multivariate margins of a density. This is usually done by integration. For R-vine densities this integration is hardly feasible even if the dimension of the integral is only two or ...
Johannes Süß
core
Bağımlılık analizi için vine copula karışımı: uygulamalarla sonlu karışım ve CD-vine yaklaşımı.
, 2018 Recently, there has been an increasing interest on the combination of copulas with a finite mixture model. By a finite mixture, a suitable weighted sum of a parametric densities are tied together in a probabilistic manner. The combination of vine copulas
Evkaya, Ömer Ozan
core
Occupational stress is a well-studied topic, and recent advances in wearable technologies have enabled a way to analyse continuous signals that respond to indicators of stress such as heart rate (HR), electrodermal activity (EDA), skin temperature (TEMP),
Deo, Ravinesh C. +5 more
core +1 more source
, 2019 We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of
Raheem, Ibrahim Dolapo +3 more
core
Correlation analysis among international soybean futures markets based on D-vine pair-Copula method
, 2012 Conference Name:Computer Science and Information Engineering, CSIE 2012. Conference Address: Zhengzhou, China. Time:May 19, 2012 - May 20, 2012.International Science and Education Researcher Association; VIP Information Conference Center; Beijing Gireda ...
Yang, Ting +3 more
core
Partial correlation with copula modeling
We propose a new partial correlation approach using Gaussian copula. Our empirical study found that the Gaussian copula partial correlation has the same value as that which is obtained by performing a Pearson's partial correlation.
Choi, Taeryon +3 more
core
Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known [PDF]
At the heart of the copula methodology in statistics is the idea of separating marginal distributions from the dependence structure. However, as shown in this paper, this separation is not to be taken for granted: in the model where the copula is known ...
Werker, B.J.M. +2 more
core
Note on new prospects on vines [PDF]
In this paper, we present a new methodology based on vine copulas to estimate multivariate distributions in high dimensions, taking advantage of the diversity of vine copulas.
Dominique Guegan, Pierre-André Maugis
core