Analyzing dependent data with vine copulas. A practical guide with R
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model selectiondependent datavine copulascopulasmultivariate statisticspair copuladependence modellingcase studyregular vine copulabivariate copuladepence measuresmultivariate data structurespair copula decompositionparameter estimation in copulassimulating regular vine copulasstatistical inference for vine cpulastrail dependencevine copula based modeling
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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Cited in
(47)- Dependence modeling with copulas
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Optimizing effective numbers of tests by vine copula modeling
- Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model
- Implicit Copula Variational Inference
- Sparse M-estimators in semi-parametric copula models
- Ordering results for elliptical distributions with applications to risk bounds
- CD-vine model for capturing complex dependence
- Explaining predictive models using Shapley values and non-parametric vine copulas
- A general construction of multivariate dependence structures with nonmonotone mappings and its applications
- A copula-based portrayal of the collider bias
- Understanding relationships with the aggregate zonal imbalance using copulas
- R-vine models for spatial time series with an application to daily mean temperature
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
- Copula modelling with penalized complexity priors: the bivariate case
- Nonparametric C- and D-vine-based quantile regression
- Copula-based Black-Litterman portfolio optimization
- Regular vines with strongly chordal pattern of (conditional) independence
- Technical and allocative inefficiency in production systems: a vine copula approach
- Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures
- Multivariate distributions of correlated binary variables generated by pair-copulas
- Use of copula to model within-study association in bivariate meta-analysis of binomial data at the aggregate level: a Bayesian approach and application to surrogate endpoint evaluation
- \texttt{fastMI}: a fast and consistent copula-based nonparametric estimator of mutual information
- Copula modeling from Abe Sklar to the present day
- Supermodular and directionally convex comparison results for general factor models
- Approximate Bayesian conditional copulas
- Generalized simulated method-of-moments estimators for multivariate copulas
- Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
- Decomposition and graphical correspondence analysis of checkerboard copulas
- Predicting times to event based on vine copula models
- Modelling credit card exposure at default using vine copula quantile regression
- Stationary vine copula models for multivariate time series
- Reliability-based composite pressure vessel design optimization with cure-induced stresses and spatial material variability
- Robust DC optimal power flow with modeling of solar power supply uncertainty via R-vine copulas
- Hypothesis Tests for Structured Rank Correlation Matrices
- On copula-based collective risk models: from elliptical copulas to vine copulas
- The bivariate K-finite normal mixture ‘blanket’ copula
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Vine copula structure representations using graphs and matrices
- A multivariate frequency-severity framework for healthcare data breaches
- Testing for equality between conditional copulas given discretized conditioning events
- Conditional empirical copula processes and generalized measures of association
- Hierarchical Archimedean copulas
- Bayesian ridge regression for survival data based on a vine copula-based prior
- Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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