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Vine-copula GARCH model with dynamic conditional dependence
Computational Statistics & Data Analysis, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
So, Mike Ka Pui, Yeung, Cherry Y.T.
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Multi-model D-vine copula regression model with vine copula-based dependence description
Computers & Chemical Engineering, 2022Shisong Liu, Shaojun Li
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Journal of Statistical Computation and Simulation
Poisson and negative binomial regressions are popular methods for modelling the relationship between a count variable and explanatory variables. In the presence of multicollinearity, ridge regression is an alternative to the maximum likelihood estimation
Hirofumi Michimae +2 more
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Poisson and negative binomial regressions are popular methods for modelling the relationship between a count variable and explanatory variables. In the presence of multicollinearity, ridge regression is an alternative to the maximum likelihood estimation
Hirofumi Michimae +2 more
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2010
Empirical researches in financial literature have shown evidence of a skewness and a time conditioning in the univariate behaviour of stock returns and, overall, in their dependence structure. The inadequacy of the elliptical and, in general, symmetrical multivariate constant model assumptions, when this type of dependence occurs, is an almost stylized
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Empirical researches in financial literature have shown evidence of a skewness and a time conditioning in the univariate behaviour of stock returns and, overall, in their dependence structure. The inadequacy of the elliptical and, in general, symmetrical multivariate constant model assumptions, when this type of dependence occurs, is an almost stylized
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Simulating Regular Vine Copulas and Distributions
2019For simulation from a d-dimensional distribution function \(F_{1,..., d}\) with conditional distribution functions \(F_{j|1,\ldots , j-1}(\cdot |x_1,\ldots , x_{j-1})\) and their inverses \(F_{j|1,\dots , j-1}^{-1}(\cdot |x_1,\ldots , x_{j-1})\) for \(j=2,\ldots , d\) we can use iterative inverse probability transformations.
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A human brain vascular atlas reveals diverse mediators of Alzheimer’s risk
Nature, 2022Andrew C Yang, Ryan T Vest, Fabian Kern
exaly
Comprehensive multivariate joint distribution model for marine soft soil based on the vine copula
Computers and geotechnicsXiaohua Bao +5 more
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Vine copula Granger causality in mean
Economic Modelling, 2022Hyuna Jang, Jong-Min Kim, Hohsuk Noh
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Selection of Regular Vine Copula Models
2019The full specification of a vine copula model requires the choice of a vine tree structure, copula families for each pair copula term and their corresponding parameters. In this chapter, we discuss different frequentist selection and estimation approaches.
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