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Efficient goodness-of-fit tests in multi-dimensional vine copula models [PDF]
, 2013 Ulf Schepsmeier
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A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas [PDF]
, 2017 Hanène Mejdoub, Mounira Ben Arab
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D‐vine‐copula‐based postprocessing of wind speed ensemble forecasts [PDF]
, 2023 David Jobst +2 more
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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 +3 more
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Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula Model
, 2008 Andréas Heinen, Alfonso Valdesogo
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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.
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pacotest: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas [PDF]
, 2017 Malte S. Kurz
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Generalised logistic regression with vine copulas
28 ...
Haff, Ingrid Hobæk +2 more
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