Results 51 to 60 of about 70,213 (199)
Vine Copula-Based Classifiers with Applications
Journal of ClassificationAbstract The vine pair-copula construction can be used to fit flexible non-Gaussian multivariate distributions to a mix of continuous and discrete variables. With multiple classes, fitting univariate distributions and a vine to each class lead to posterior probabilities over classes that can be used for discriminant analysis.
Özge Sahin, Harry Joe
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Prediction based on conditional distributions of vine copulas [PDF]
Computational Statistics & Data Analysis, 2019 Vine copulas are a flexible tool for multivariate non-Gaussian distributions. For data from an observational study where the explanatory variables and response variables are measured together, a proposed vine copula regression method uses regular vines and handles mixed continuous and discrete variables.
Bo Chang 0002, Harry Joe
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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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A New Wind Speed Scenario Generation Method Based on Principal Component and R-Vine Copula Theories
Energies, 2022 The intermittent and uncertain properties of wind power have presented enormous obstacles to the planning and steady operation of power systems. In this context, as an effective technique to study wind power uncertainty, the development of an accurate ...
Hui Hwang Goh +6 more
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Construction and Application of a Novel C‐Vine Copula‐Based Multi‐Variate Ecological Drought Index
Irrigation and Drainage, EarlyView.ABSTRACT A comprehensive ecological drought index capturing vegetation growth conditions and meteorological–hydrological variability is essential for assessing ecological drought and optimizing water resource management. This study selected soil moisture (SM), actual evapotranspiration (ET), land surface temperature (LST) and leaf area index (LAI) to ...
Haofei Zhang, Xingye Han, Zhijun Wu
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A Vine-copula extension for the HAR model [PDF]
, 2019 24 pages, 3 figures, 3 ...
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International Journal of Climatology, EarlyView.The changes in joint return period of compound meteorological hot‐dry (CMHHE) and hot‐wet (CMHWE) and compound hydrological hot‐dry (CHHDE) and hot‐wet (CHHWE) extremes were attributed to changes in associated univariate extremes and their dependence.
Ruting Yang +6 more
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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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On the connection between cherry-tree copulas and truncated R-vine copulas [PDF]
Kybernetika, 2017 Vine copulas are a flexible way for modeling dependences using only pair-copulas as building blocks. However if the number of variables grows the problem gets fast intractable. For dealing with this problem Brechmann at al. proposed the truncated R-vine copulas.
Edith Kovács, Tamás Szántai
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Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)
Journal of Time Series Analysis, EarlyView.ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley +1 more source