Results 31 to 40 of about 276 (185)
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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Application of a Vine Copula for Multi-Line Insurance Reserving
Risks, 2020 This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss
Himchan Jeong, Dipak Dey
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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
, 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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IET Generation, Transmission & Distribution, 2020 This work focuses on calculating the amount of control reserve, which can be provided by a pool of renewable power plants on the next day. The power forecast of wind and solar power plants depends on the weather forecast, which always contains errors.
Stefan Möws +2 more
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Canadian Journal of Statistics, EarlyView.Abstract Intensity–duration–frequency curves are used by a wide range of professionals to manage the risks related to extreme rainfall. In Canada, these curves are produced by Environment and Climate Change Canada on the basis of Gumbel distributions fitted independently for each accumulation period.
Paul Mathivon +2 more
wiley +1 more source
WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE
REAdThis study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014.
Fernanda Maria Müller +2 more
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Truncation Mixture R-Vine Copulas
, 2021 Uncovering hidden mixture correlation among variables have been investigating in the literature using mixture R-vine copula models. These models are hierarchical in nature. They provides a huge flexibility for modelling multivariate data. As the dimensions increases, the number of the model parameters that need to be estimated is increased dramatically,
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Alternative Approaches for Estimating Highest‐Density Regions
International Statistical Review, EarlyView.Summary Among the variety of statistical intervals, highest‐density regions (HDRs) stand out for their ability to effectively summarise a distribution or sample, unveiling its distinctive and salient features. An HDR represents the minimum size set that satisfies a certain probability coverage, and current methods for their computation require ...
Nina Deliu, Brunero Liseo
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IEEE AccessUsing copulas in statistics evaluates the dependence between random variables. Copula modeling has significantly been used in many areas, especially in the search for multivariate distributions.
Amir Shahirinia +4 more
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Explaining predictive models using Shapley values and non-parametric vine copulas
Dependence Modeling, 2021 In this paper the goal is to explain predictions from complex machine learning models. One method that has become very popular during the last few years is Shapley values.
Aas Kjersti +3 more
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