Results 41 to 50 of about 94,299 (278)
Analysis of corticomuscular connectivity during walking using vine copula
Mathematical Biosciences and Engineering, 2021 Corticomuscular connectivity plays an important role in the neural control of human motion. This study recorded electroencephalography (EEG) and surface electromyography (sEMG) signals from subjects performing specific tasks (walking on level ground and ...
Xiebing Chen +4 more
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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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Pair-copula constructions of multiple dependence [PDF]
, 2006 Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time.
Aas, Kjersti +3 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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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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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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Time series with infinite-order partial copula dependence
Dependence Modeling, 2022 Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of models that ...
Bladt Martin, McNeil Alexander J.
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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
, 2019 We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencoder (AE) compresses the data into a lower dimensional representation. Second, the multivariate distribution of the encoded data is estimated with vine copulas.
Tagasovska, Natasa +2 more
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Modeling International Financial Returns with a Multivariate Regime Switching Copula [PDF]
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime.
Chollete, Loran +2 more
core +7 more sources
IET Energy Systems Integration, 2022 With the continuous development of Regional Integrated Energy System (RIES), demand response (DR) is composed of diversified loads including electric load, heat load and gas load.
Shuxin Tian +4 more
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