Results 31 to 40 of about 81,207 (215)
Energy Science & Engineering, 2021 To consider the failure correlation among key subsystems, based on the reliability allocation method of the series system, a wind turbine reliability allocation calculation method based on the vine copula correlation model is proposed.
Yuanyuan Wu, Wenlei Sun
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An Econometric Study of Vine Copulas [PDF]
SSRN Electronic Journal, 2010 We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable ...
Dominique Guegan, Pierre-André Maugis
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Statistical arbitrage with vine copulas [PDF]
Quantitative Finance, 2018 We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling.
Stübinger, Johannes +2 more
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Dependence Analysis of the ISE100 Banking Sector Using Vine Copula
İstanbul İktisat Dergisi, 2023 The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index ...
Bükre Yıldırım Külekci +3 more
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A New Wind Speed Scenario Generation Method Based on Principal Component and R-Vine Copula Theories
Energies, 2022 The intermittent and uncertain properties of wind power have presented enormous obstacles to the planning and steady operation of power systems. In this context, as an effective technique to study wind power uncertainty, the development of an accurate ...
Hui Hwang Goh +6 more
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Matrix and graph representations of vine copula structures
CoRR, 2022 23 pages, 27 ...
Daniel Pfeifer, Edith Alice Kovács
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Univariate conditioning of vine copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Bayesian Nonparametric Inference for a Multivariate Copula Function [PDF]
, 2014 The paper presents a general Bayesian nonparametric approach for estimating a high dimensional copula. We first introduce the skew-normal copula, which we then extend to an infinite mixture model.
Wu, Juan, Wang, Xue, Walker, Stephen G.
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Vine copula based dependence modeling in sustainable finance
Journal of Finance and Data Science, 2022 Climate change and sustainability have become societal focal points in the last decade. Consequently, companies have been increasingly characterized by non-financial information, such as environmental, social, and governance (ESG) scores, based on which ...
Claudia Czado +5 more
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Vine Copula-Based Classifiers with Applications
Journal of ClassificationAbstract The vine pair-copula construction can be used to fit flexible non-Gaussian multivariate distributions to a mix of continuous and discrete variables. With multiple classes, fitting univariate distributions and a vine to each class lead to posterior probabilities over classes that can be used for discriminant analysis.
Özge Sahin, Harry Joe
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