Marius Hofert

Available identifiers

zbMath Open hofert.mariusMaRDI QIDQ303962

List of research outcomes

Publication	Date of Publication	Type
Comparison of correlation-based measures of concordance in terms of asymptotic variance	2024-03-25	Paper
Applications of Multivariate Quasi-Random Sampling with Neural Networks	2024-02-14	Paper
Matrix compatibility and correlation mixture representation of generalized Gini's gamma	2024-01-22	Paper
Dependence Model Assessment and Selection with DecoupleNets	2024-01-22	Paper
https://portal.mardi4nfdi.de/entity/Q6181547	2024-01-03	Paper
Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions	2023-09-19	Paper
Measuring non-exchangeable tail dependence using tail copulas	2023-07-13	Paper
Single-index importance sampling with stratification	2023-02-17	Paper
Random number generators produce collisions: Why, how many and more	2022-12-14	Paper
Smooth bootstrapping of copula functionals	2022-05-11	Paper
Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks	2022-03-29	Paper
Right-truncated Archimedean and related copulas	2021-07-06	Paper
Normal variance mixtures: distribution, density and parameter estimation	2021-05-07	Paper
Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation	2021-05-06	Paper
Modality for scenario analysis and maximum likelihood allocation	2021-03-17	Paper
On structure, family and parameter estimation of hierarchical Archimedean copulas	2020-04-22	Paper
MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK	2020-02-03	Paper
COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE	2019-11-22	Paper
A framework for measuring association of random vectors via collapsed random variables	2019-07-02	Paper
Elements of Copula Modeling with R	2019-05-16	Paper
Importance Sampling and Stratification for Copula Models	2019-01-22	Paper
Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas	2018-11-01	Paper
Multivariate geometric expectiles	2018-08-31	Paper
Hierarchical Archimax copulas	2018-08-16	Paper
Sampling Exponentially Tilted Stable Distributions	2018-04-16	Paper
Quasi-random numbers for copula models	2017-06-30	Paper
Improved algorithms for computing worst value-at-risk	2017-05-22	Paper
Bernoulli and tail-dependence compatibility	2016-08-23	Paper
https://portal.mardi4nfdi.de/entity/Q5262079	2015-07-13	Paper
Construction and sampling of Archimedean and nested Archimedean Lévy copulas	2015-06-18	Paper
Subadditivity of value-at-risk for Bernoulli random variables	2015-03-24	Paper
STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY	2014-02-27	Paper
Densities of nested Archimedean copulas	2014-01-10	Paper
A note on generalized inverses	2013-08-02	Paper
A stochastic representation and sampling algorithm for nested Archimedean copulas	2013-06-28	Paper
Sibuya copulas	2013-01-16	Paper
Comments on: Inference in multivariate Archimedean copula models	2012-11-15	Paper
Efficiently sampling nested Archimedean copulas	2012-09-15	Paper
Likelihood inference for Archimedean copulas in high dimensions under known margins	2012-08-13	Paper
Practices and issues in operational risk modeling under Basel II	2011-12-01	Paper
Likelihood inference for Archimedean copulas	2011-08-30	Paper
CDO pricing with nested Archimedean copulas	2011-06-07	Paper
Modeling defaults with nested Archimedean copulas	2011-01-28	Paper
Multivariate hierarchical copulas with shocks	2010-11-22	Paper
Constructing hierarchical archimedean copulas with Lévy subordinators	2010-05-05	Paper
Sampling Archimedean copulas	2009-06-16	Paper

Research outcomes over time

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