Results 21 to 30 of about 93,814 (220)

An econometric Study for Vine Copulas

, 2011
International audienceWe 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.
Guegan, Dominique, Maugis, Pierre-André
core   +4 more sources

A geometric investigation into the tail dependence of vine copulas [PDF]

Journal of Multivariate Analysis, 2020
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.
Tawn, Jonathan A., Simpson, Emma S., Wadsworth, Jennifer L.   +2 more
core   +3 more sources

An Econometric Study of Vine Copulas [PDF]

SSRN Electronic Journal, 2010
URL des Documents de travail : http:/ces.univ-paris1.fr/cesdp/CESFramDP2010.htm Paru dans Insurance Markets and Companies.Documents de travail du Centre d'Economie de la Sorbonne 2010.40 - ISSN : 1955-611XWe present a new recursive algorithm to ...
Guegan, Dominique, Maugis, Pierre-André
core   +4 more sources

Mixture of D-vine copulas for modeling dependence

Computational Statistics & Data Analysis, 2013
The identification of an appropriate multivariate copula for capturing the dependence structure in multivariate data is not straightforward. The reason is because standard multivariate copulas (such as the multivariate Gaussian, Student-t, and ...
Kim, Daeyoung, Jung, Yoon Sung, Kim, Jong Min, Liao, Shu Min   +3 more
core   +2 more sources

Time varying vine copulas

, 2010
In order to investigate the dependence among assets, markets and sectors, in a flexible way and outgoing correlation parameters, the application of multivariate copula functions can be suggested to bypass or integrate the multivariate GARCH model ...
RIVIECCIO, GIORGIA
core   +3 more sources

Bayesian model selection of regular vine copulas [PDF]

Bayesian Analysis, 2014
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student’s t copula.
Gruber, L., and Czado C.
core   +4 more sources

Application of vine copulas to dependence analysis of water quality data [PDF]

Journal of Applied Research in Water and Wastewater, 2022
In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Mohammad Nazeri Tahroudi, Yousef Ramezani, Carlo De Michele, Rasoul Mirabbasi   +3 more
doaj   +1 more source

Bayesian Model Selection of Regular Vine Copulas

Bayesian Analysis, 2018
Regular vine copulas are a flexible class of dependence models, but Bayesian methodology for model selection and inference is not yet fully developed.
Claudia Czado
exaly   +3 more sources

Textile effluent treatment using Avocado seeds based activated carbon [PDF]

Journal of Applied Research in Water and Wastewater, 2022
In this study, using vine copulas and tree sequences, dependence analysis of groundwater quality variables (Total hardness (TH), Sodium adsorption ratio (SAR), Sodium percentage (Na %) and magnesium (Mg)) was performed.
Jacques Munyegaju, Hakizimana Jean Nepo, Buscotin Beakou, Valerien Mutambyi, Uwitonze Nestor   +4 more
doaj   +1 more source

Multidimensional characterization of particle morphology and mineralogical composition using CT data and R-vine copulas [PDF]

Minerals Engineering, 2023
Computed tomography (CT) can capture volumes large enough to measure a statistically meaningful number of micron-sized particles with a sufficiently good resolution to allow for the analysis of individual particles. However, the development of methods to
O. Furat, T. Kirstein, T. Leißner, K. Bachmann, J. Gutzmer, U. Peuker, Volker Schmidt   +6 more
semanticscholar   +1 more source