Results 81 to 90 of about 2,966 (203)
An Econometric Study of Vine Copulas [PDF]
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.
Dominique Guegan, Pierre-André Maugis
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Multivariate modeling of flood characteristics using Vine copulas
Environmental Earth Sciences, 2020 Vine copulas provide a great deal of flexibility in modeling complex dependence structures between the variables. In spite of its importance, very limited attention has been paid in hydrology field. In the present study, multivariate modelling of flood characteristics was performed using traditional Archimedean and Elliptical and Vine copulas.
Fatih Tosunoglu +2 more
openaire +3 more sources
Water Resources Research, Volume 62, Issue 1, January 2026.Abstract Drought significantly affects water resources, agriculture, energy, and ecosystems, revealing enduring socio‐economic vulnerabilities over the centuries. This review synthesizes a century of development and recent advances in drought research (1900–2023), drawing on a bibliometric analysis of over 152,000 peer‐reviewed publications. The review
Amitesh Sabut, Ashok Mishra
wiley +1 more source
Simplified vine copula models: State of science and affairs
Risk SciencesVine copula models have become highly popular practical tools for modeling multivariate dependencies. To maintain tractability, a commonly employed simplifying assumption is that conditional copulas remain unchanged by the conditioning variables.
Thomas Nagler
doaj +1 more source
An econometric Study for Vine Copulas
, 2010 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
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IET Generation, Transmission &Distribution, Volume 20, Issue 1, January/December 2026.This study develops a spatiotemporal source‐load scenario generation framework using Copula‐Markov chains, R‐Vine Copulas and user behaviour models. A novel flexibility assessment framework quantifies supply‐demand imbalances, showing flexibility resources like demand response and VSC capacity shape system flexibility. ABSTRACT Global energy transition
Kang Yue +5 more
wiley +1 more source
Scenario Generation Approach of Regional Wind Power Driven by Meteorological Data
IET Generation, Transmission &Distribution, Volume 20, Issue 1, January/December 2026.This paper proposes a meteorological data‐driven approach for generating regional wind power scenarios that adapt to future capacity expansion. By selecting WPAPs, classifying wind speed patterns, and designing a DCNN, the method produces credible and heterogeneous time‐series scenarios.
Qian Kai +3 more
wiley +1 more source
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj +1 more source
Pruning and Truncating the Mixture R-Vine Model Using the Mixture Weight
Journal of Probability and StatisticsVine copula mixture models are highly flexible and can handle complex hidden dependencies among variables without restricting the parametric shape of the margins or the type of dependency structure.
Fadhah Alanazi
doaj +1 more source
Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction [PDF]
Elliptical distributions commonly applied to modeling the returns of stocks in high-dimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are very diverse.
Ryszard Doman
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