Results 31 to 40 of about 70,213 (199)
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
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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
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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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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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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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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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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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Trivariate joint frequency analysis of water resources deficiency signatures using vine copulas
Applied Water Science, 2022 Investigating the interaction of water resources such as rainfall, river flow and groundwater level can be useful to know the behavior of water balance in a basin.
Mohammad Nazeri Tahroudi +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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