Results 11 to 20 of about 70,213 (199)
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
exaly +5 more sources
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
core +7 more sources
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 +2 more
exaly +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
doaj +2 more sources
A continuous rainfall model based on vine copulas [PDF]
Hydrology and Earth System Sciences, 2015 Copulas have already proven their flexibility in rainfall modelling. Yet, their use is generally restricted to the description of bivariate dependence.
H. Vernieuwe +3 more
doaj +3 more sources
A geometric investigation into the tail dependence of vine copulas [PDF]
Journal of Multivariate Analysis, 2021 Vine copulas are a type of multivariate dependence model, composed of a collection of bivariate copulas that are combined according to a specific underlying graphical structure. Their flexibility and practicality in moderate and high dimensions have contributed to the popularity of vine copulas, but relatively little attention has been paid to their ...
Emma S. Simpson +2 more
core +7 more sources
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
doaj +2 more sources
An econometric Study for Vine Copulas
, 2011 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 ...
Guegan, Dominique, Maugis, Pierre-André
core +7 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
doaj +2 more sources
Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Harry Joe +2 more
openaire +3 more sources