| Publication | Date of Publication | Type |
|---|
RafterNet: Probabilistic Predictions in Multi-Response Regression
The American Statistician | 2024-08-12 | Paper |
Randomized quasi-Monte Carlo methods on triangles: extensible lattices and sequences
Methodology and Computing in Applied Probability | 2024-06-04 | Paper |
Comparison of correlation-based measures of concordance in terms of asymptotic variance
Journal of Multivariate Analysis | 2024-03-25 | Paper |
Applications of Multivariate Quasi-Random Sampling with Neural Networks
Springer Proceedings in Mathematics & Statistics | 2024-02-14 | Paper |
Matrix compatibility and correlation mixture representation of generalized Gini's gamma
The Canadian Journal of Statistics | 2024-01-22 | Paper |
Dependence Model Assessment and Selection with DecoupleNets
Journal of Computational and Graphical Statistics | 2024-01-22 | Paper |
| Risk Revealed | 2024-01-03 | Paper |
Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
Journal of Statistical Computation and Simulation | 2023-09-19 | Paper |
Measuring non-exchangeable tail dependence using tail copulas
ASTIN Bulletin | 2023-07-13 | Paper |
| Index-mixed copulas | 2023-06-18 | Paper |
Single-index importance sampling with stratification
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Random number generators produce collisions: Why, how many and more
The American Statistician | 2022-12-14 | Paper |
Smooth bootstrapping of copula functionals
Electronic Journal of Statistics | 2022-05-11 | Paper |
Smooth bootstrapping of copula functionals
Electronic Journal of Statistics | 2022-05-11 | Paper |
Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
Journal of Computational and Graphical Statistics | 2022-03-29 | Paper |
Right-truncated Archimedean and related copulas
Insurance Mathematics & Economics | 2021-07-06 | Paper |
Normal variance mixtures: distribution, density and parameter estimation
Computational Statistics and Data Analysis | 2021-05-07 | Paper |
Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
Computational Statistics and Data Analysis | 2021-05-06 | Paper |
Modality for scenario analysis and maximum likelihood allocation
Insurance Mathematics & Economics | 2021-03-17 | Paper |
On structure, family and parameter estimation of hierarchical Archimedean copulas
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
ASTIN Bulletin | 2020-02-03 | Paper |
COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
ASTIN Bulletin | 2019-11-22 | Paper |
A framework for measuring association of random vectors via collapsed random variables
Journal of Multivariate Analysis | 2019-07-02 | Paper |
Elements of Copula Modeling with R
Use R! | 2019-05-16 | Paper |
Importance sampling and stratification for copula models
Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan | 2019-01-22 | Paper |
Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
Dependence Modeling | 2018-11-01 | Paper |
Multivariate geometric expectiles
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Hierarchical Archimax copulas
Journal of Multivariate Analysis | 2018-08-16 | Paper |
Hierarchical Archimax copulas
Journal of Multivariate Analysis | 2018-08-16 | Paper |
Sampling exponentially tilted stable distributions
ACM Transactions on Modeling and Computer Simulation | 2018-04-16 | Paper |
Quasi-random numbers for copula models
Statistics and Computing | 2017-06-30 | Paper |
Improved algorithms for computing worst value-at-risk
Statistics & Risk Modeling | 2017-05-22 | Paper |
Bernoulli and tail-dependence compatibility
The Annals of Applied Probability | 2016-08-23 | Paper |
Bernoulli and tail-dependence compatibility
The Annals of Applied Probability | 2016-08-23 | Paper |
| scientific article; zbMATH DE number 6458325 (Why is no real title available?) | 2015-07-13 | Paper |
Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Journal of Multivariate Analysis | 2015-06-18 | Paper |
Subadditivity of value-at-risk for Bernoulli random variables
Statistics & Probability Letters | 2015-03-24 | Paper |
STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
ASTIN Bulletin | 2014-02-27 | Paper |
Densities of nested Archimedean copulas
Journal of Multivariate Analysis | 2014-01-10 | Paper |
A note on generalized inverses
Mathematical Methods of Operations Research | 2013-08-02 | Paper |
A stochastic representation and sampling algorithm for nested Archimedean copulas
Journal of Statistical Computation and Simulation | 2013-06-28 | Paper |
Sibuya copulas
Journal of Multivariate Analysis | 2013-01-16 | Paper |
Comments on: Inference in multivariate Archimedean copula models
Test | 2012-11-15 | Paper |
Efficiently sampling nested Archimedean copulas
Computational Statistics and Data Analysis | 2012-09-15 | Paper |
Likelihood inference for Archimedean copulas in high dimensions under known margins
Journal of Multivariate Analysis | 2012-08-13 | Paper |
Practices and issues in operational risk modeling under Basel II
Lithuanian Mathematical Journal | 2011-12-01 | Paper |
| Likelihood inference for Archimedean copulas | 2011-08-30 | Paper |
CDO pricing with nested Archimedean copulas
Quantitative Finance | 2011-06-07 | Paper |
Modeling defaults with nested Archimedean copulas
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2011-01-28 | Paper |
Multivariate hierarchical copulas with shocks
Methodology and Computing in Applied Probability | 2010-11-22 | Paper |
Constructing hierarchical archimedean copulas with Lévy subordinators
Journal of Multivariate Analysis | 2010-05-05 | Paper |
Sampling Archimedean copulas
Computational Statistics and Data Analysis | 2009-06-16 | Paper |
Limiting Behavior of Maxima under Dependence
(available as arXiv preprint) | N/A | Paper |
