Results 11 to 20 of about 94,299 (278)
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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Mixed D-vine copula-based conditional quantile model for stochastic monthly streamflow simulation
Water Science and Engineering, 2023 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 +5 more
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Bayesian Estimation of R-Vine Copula with Gaussian-Mixture GARCH Margins: An MCMC and Machine Learning Comparison [PDF]
MathematicsThis study proposes Bayesian estimation of multivariate regular vine (R-vine) copula models with generalized autoregressive conditional heteroskedasticity (GARCH) margins modeled by Gaussian-mixture distributions.
Rewat Khanthaporn, Nuttanan Wichitaksorn
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Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach
Financial InnovationThis 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
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Learning Vine Copula Models For Synthetic Data Generation
Proceedings of the AAAI Conference on Artificial Intelligence, 2018 A vine copula model is a flexible high-dimensional dependence model which uses only bivariate building blocks. However, the number of possible configurations of a vine copula grows exponentially as the number of variables increases, making model ...
Cuesta-Infante, Alfredo +2 more
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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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Vine Copula Models with GLM and Sparsity
SSRN Electronic Journal, 2017 Vine copula provides a flexible tool to capture asymmetry in modelling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying assumption (SA) is commonly adapted in specific applications of vine copula models.
Dezhao Han, Ken Seng Tan, Chengguo Weng
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Application of vine copulas to dependence analysis of water quality data [PDF]
Journal of Applied Research in Water and Wastewater, 2022 In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Mohammad Nazeri Tahroudi +3 more
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Textile effluent treatment using Avocado seeds based activated carbon [PDF]
Journal of Applied Research in Water and Wastewater, 2022 In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Jacques Munyegaju +4 more
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