Results 21 to 30 of about 292 (177)
Comparison between canonical vine copulas and a meta-Gaussian model for forecasting agricultural drought over China [PDF]
Hydrology and Earth System Sciences, 2022 Agricultural drought mainly stems from reduced soil moisture and precipitation, and it causes adverse impacts on the growth of crops and vegetation, thereby affecting agricultural production and food security.
H. Wu +9 more
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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
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Technical and allocative inefficiency in production systems: a vine copula approach
Dependence Modeling, 2022 Modeling the error terms in stochastic frontier models of production systems requires multivariate distributions with certain characteristics. We argue that canonical vine copulas offer a natural way to model the pairwise dependence between the two main ...
Zhai Jian, James Robert, Prokhorov Artem
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Ecological Indicators, 2023 Best management practices (BMPs) have wide application in non-point source (NPS) pollution abatement in agricultural watersheds. Multivariate analysis of BMPs reduction effects taking their randomness and correlations into account is significant to ...
Wenlu Ding +6 more
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Vine copulas structures modeling on Russian stock market
Discrete and Continuous Models and Applied Computational Science, 2019 Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in
Eugeny Yu. Shchetinin
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Forecasted Scenarios of Regional Wind Farms Based on Regular Vine Copulas
Journal of Modern Power Systems and Clean Energy, 2020 Owing to the uncertainty and volatility of wind energy, forecasted wind power scenarios with proper spatio-temporal correlations are needed in various decision-making problems involving power systems.
Zhao Wang +3 more
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covsim: An R Package for Simulating Non-Normal Data for Structural Equation Models Using Copulas
Journal of Statistical Software, 2022 In factor analysis and structural equation modeling non-normal data simulation is traditionally performed by specifying univariate skewness and kurtosis together with the target covariance matrix.
Steffen Grønneberg +2 more
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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
CoRR, 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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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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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
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