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Simulation of potential evapotranspiration values based on vine copula
Meteorological Applications, 2021 Vine copula had a great impact on the study and analysis of dependence structures in various sciences. In multivariate analyses with dimensions of more than two variables, it is associated with computational complexities that solve vine copulas and these
Abbas Khashei‐Siuki +3 more
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Smooth nonparametric Bernstein vine copulas [PDF]
Quantitative Finance, 2012 We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation study and an empirical analysis of financial market data, we show
Gregor Wei{\ss}, Marcus Scheffer
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Vine constructions of Lévy copulas [PDF]
Journal of Multivariate Analysis, 2013 Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dimensions. To overcome this problem,
Grothe, Oliver, Nicklas, Stephan
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Trivariate joint frequency analysis of water resources deficiency signatures using vine copulas
Applied Water Science, 2022 Investigating the interaction of water resources such as rainfall, river flow and groundwater level can be useful to know the behavior of water balance in a basin.
Mohammad Nazeri Tahroudi +3 more
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Hydrology, 2022 Low-lying coastal communities are often threatened by compound flooding (CF), which can be determined through the joint occurrence of storm surges, rainfall and river discharge, either successively or in close succession.
Shahid Latif, Slobodan P. Simonovic
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A Mixture of Regular Vines for Multiple Dependencies
Journal of Probability and Statistics, 2021 To uncover complex hidden dependency structures among variables, researchers have used a mixture of vine copula constructions. To date, these have been limited to a subclass of regular vine models, the so-called drawable vine, fitting only one type of ...
Fadhah Amer Alanazi
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A Framework for Generating Realistic Synthetic Tabular Data in a Randomized Controlled Trial Setting. [PDF]
Stat MedABSTRACT Generation of realistic synthetic data has garnered considerable attention in recent years, particularly in the health research domain due to its utility in, for instance, sharing data while protecting patient privacy or determining optimal clinical trial design.
Petrakos NZ, Moodie EEM, Savy N.
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Mathematics, 2021 For multidimensional dependent cases with incomplete probability information of random variables, global sensitivity analysis (GSA) theory is not yet mature.
Zhiwei Bai +4 more
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MATVines: A vine copula package for MATLAB
SoftwareX, 2021 Vine copulas provide a way to model a d-dimensional copula with bivariate building blocks and have been applied to a wide range of research topics. The MATVines package is presented, which implements vine copula functionalities for MATLAB. In particular,
Maximilian Coblenz
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covsim: An R Package for Simulating Non-Normal Data for Structural Equation Models Using Copulas
Journal of Statistical Software, 2022 In factor analysis and structural equation modeling non-normal data simulation is traditionally performed by specifying univariate skewness and kurtosis together with the target covariance matrix.
Steffen Grønneberg +2 more
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