Results 1 to 10 of about 292 (177)
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
doaj +2 more sources
Unveiling spring behaviour through copula-based inter-spring connectivity in the Central Himalaya [PDF]
Scientific ReportsThis study aims to evaluate the performance of elliptical and D-vine copula models for predicting discharge at one spring (S5) using observed discharge data from the other four springs (S1-S4) and concurrent rainfall within a single springshed of Central
Sandipan Mukherjee +3 more
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Novel pruning and truncating of the mixture of vine copula clustering models [PDF]
Scientific Reports, 2022 The mixture of the vine copula densities allows selecting the vine structure, the most appropriate type of parametric marginal distributions, and the pair-copulas individually for each cluster. Therefore, complex hidden dependence structures can be fully
Fadhah Amer Alanazi
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Financial dependence analysis: applications of vine copulas [PDF]
Statistica Neerlandica, 2013 This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk, namely regular vine copulas. Dependence modelling using copulas is a popular tool in financial applications but is usually applied to pairs of securities.
David Allen +2 more
exaly +8 more sources
Approximate Uncertainty Modeling in Risk Analysis with Vine Copulas. [PDF]
Risk Anal, 2016 Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesian networks and copulas are two common approaches to modeling joint uncertainties with probability distributions. This article focuses on new methodologies for copulas by developing work of Cooke, Bedford, Kurowica, and others on vines as a way of ...
Bedford T, Daneshkhah A, Wilson KJ.
europepmc +6 more sources
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.
Carlo De Michele +2 more
exaly +2 more sources
A Synthetic European Weather Dataset Based on Spatiotemporal Vine Copulas [PDF]
Scientific DataA stochastic weather generator provides data by capturing statistical properties of observed weather patterns, enabling the simulation of realistic time series beyond the historic record.
Judith N. Claassen +4 more
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Dependence structure across equity sectors: Evidence from vine copulas
Borsa Istanbul Review, 2023 Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from ...
Faheem Aslam +2 more
exaly +3 more sources
Energy Reports, 2020 The accuracy of correlation modeling for multiple wind farms will directly affect the assessment results of absorption capacity in electric utilities. Due to the rapid increase in installed capacity of wind power in recent years, there are often multiple
Gangquan Si, Kai Qu, Yuehui Huang
exaly +3 more sources
Model distances for vine copulas in high dimensions [PDF]
Statistics and Computing, 2017 Vine copulas are a flexible class of dependence models consisting of bivariate building blocks and have proven to be particularly useful in high dimensions. Classical model distance measures require multivariate integration and thus suffer from the curse of dimensionality.
Claudia Czado +2 more
exaly +4 more sources