Results 121 to 130 of about 3,920 (236)
An information ratio-based goodness-of-fit test for copula models on censored data. [PDF]
Biometrics, 2023 Sun T, Cheng Y, Ding Y.
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The linkage between Bitcoin and foreign exchanges in developed and emerging markets. [PDF]
Financ Innov, 2023 BenSaïda A.
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A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas [PDF]
, 2017 Hanène Mejdoub, Mounira Ben Arab
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Vine Copulas as Differentiable Computational Graphs
Vine copulas are sophisticated models for multivariate distributions and are increasingly used in machine learning. To facilitate their integration into modern ML pipelines, we introduce the vine computational graph, a DAG that abstracts the multilevel vine structure and associated computations.
Cheng, Tuoyuan +3 more
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Bi-factor and Second-Order Copula Models for Item Response Data. [PDF]
Psychometrika, 2023 Kadhem SH, Nikoloulopoulos AK.
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Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula Model
, 2008 Andréas Heinen, Alfonso Valdesogo
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Value-at-Risk with Vine Copulas
, 2023 Especially when considering a portfolio with multiple assets the dependence structure in-between them is crucial regarding the grade of diversification and risk assessment. Models which consist of the multivariate normal distribution are popular because of their simplicity and fast calculation time.
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pacotest: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas [PDF]
, 2017 Malte S. Kurz
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D‐vine‐copula‐based postprocessing of wind speed ensemble forecasts [PDF]
, 2023 David Jobst +2 more
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