Results 31 to 40 of about 93,814 (220)
Retrospective Uncertainties for Deep Models using Vine Copulas [PDF]
International Conference on Artificial Intelligence and Statistics, 2023 Despite the major progress of deep models as learning machines, uncertainty estimation remains a major challenge. Existing solutions rely on modified loss functions or architectural changes.
Natavsa Tagasovska +2 more
semanticscholar +1 more source
Selection of Sparse Vine Copulas in High Dimensions with the Lasso [PDF]
Statistics and Computing, 2019 We propose a novel structure selection method for high dimensional (d > 100) sparse vine copulas. Current sequential greedy approaches for structure selection require calculating spanning trees in hundreds of dimensions and fitting the pair copulas and ...
Müller, D. and Czado C.
core +4 more sources
Model distances for vine copulas in high dimensions [PDF]
Statistics and Computing, 2018 Vine copulas are a flexible class of dependence models consisting of bivariate building blocks and have proven to be particularly useful in high dimensions. Classical model distance measures require multivariate integration and thus suffer from the curse
Killiches, M., Kraus, D., and Czado, C.
core +4 more sources
Vine constructions of Lévy copulas [PDF]
Journal of Multivariate Analysis, 2013 Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dimensions. To overcome this problem,
Grothe, Oliver, Nicklas, Stephan
openaire +3 more sources
Approximate Uncertainty Modeling in Risk Analysis with Vine Copulas. [PDF]
Risk Anal, 2016 Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesian networks and copulas are two common approaches to modeling joint uncertainties with probability distributions. This article focuses on new methodologies for copulas by developing work of Cooke, Bedford, Kurowica, and others on vines as a way of ...
Bedford T, Daneshkhah A, Wilson KJ.
europepmc +6 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 +3 more
doaj +1 more source
An assessment of the uncertainty of the extremity of flood waves with vine copulas
Acta hydrologica slovaca, 2023 Flood hazard connected with the failure of hydraulic structures and flood risk associated with areas subject to flooding need to be estimated using flood hydrographs.
R. Výleta +5 more
semanticscholar +1 more source
Processes, 2023 Interval forecasting has become a research hotspot in recent years because it provides richer uncertainty information on wind power output than spot forecasting.
Yanwen Wang +4 more
semanticscholar +1 more source
A Mixture of Regular Vines for Multiple Dependencies
Journal of Probability and Statistics, 2021 To uncover complex hidden dependency structures among variables, researchers have used a mixture of vine copula constructions. To date, these have been limited to a subclass of regular vine models, the so-called drawable vine, fitting only one type of ...
Fadhah Amer Alanazi
doaj +1 more source
Pairs Trading; A Comparison between Student-t and Vine Copulas [PDF]
تحقیقات مالی, 2022 Objective: The main purpose of the present research was to compare the performance of pairs trading based on the Vine Copula, Student's t Copula, and Distance approaches. This was done for the first time on the Tehran Stock Exchange (TSE).
Maryam Davallou, Ardavan Yazdi
doaj +1 more source