Vines -- a new graphical model for dependent random variables.
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- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
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- A distribution-free approach to inducing rank correlation among input variables
- Conditional specification of statistical models.
- Dynamic linkages for multivariate distributions with given nonoverlapping multivariate marginals
- Linkages: A tool for the construction of multivariate distributions with given nonoverlapping multivariate marginals
- Minimally informative distributions with given rank correlation for use in uncertainty analysis
- Probability distributions with given multivariate marginals and given dependence structure
Cited in
(only showing first 100 items - show all)- Covariance model simulation using regular vines
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Constraint-based learning for non-parametric continuous Bayesian networks
- Comparison of estimators for pair-copula constructions
- A goodness-of-fit test for regular vine copula models
- Bayesian inference in cumulative distribution fields
- Risk aggregation in non-life insurance: standard models vs. internal models
- Copula index for detecting dependence and monotonicity between stochastic signals
- Derivatives and Fisher information of bivariate copulas
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Statistical arbitrage with vine copulas
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Toward an integrated Bayesian network approach to measurement error detection and correction
- Financial dependence analysis: applications of vine copulas
- Pair copula constructions for multivariate discrete data
- Estimating non-simplified vine copulas using penalized splines
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Distribution-free continuous Bayesian belief nets
- Bayesian estimation of generalized partition of unity copulas
- Detecting and modeling critical dependence structures between random inputs of computer models
- Simplified R-vine based forward regression
- Variational inference for high dimensional structured factor copulas
- Prediction based on conditional distributions of vine copulas
- Modelling mortality dependence with regime-switching copulas
- scientific article; zbMATH DE number 1531986 (Why is no real title available?)
- Spatial pair-copula model of grade for an anisotropic gold deposit
- Modelling mortality dependence: an application of dynamic vine copula
- Recent advances in the elicitation of uncertainty distributions from experts for multinomial probabilities
- Parameter estimation for pair-copula constructions
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- A copula-based method of classifying individuals into binary disease categories using dependent biomarkers
- Ordering results for elliptical distributions with applications to risk bounds
- Model distances for vine copulas in high dimensions
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Mixture of D-vine copulas for modeling dependence
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Vine copula specifications for stationary multivariate Markov chains
- A streaming algorithm for bivariate empirical copulas
- Testing for structural breaks in factor copula models
- On additivity of tail comonotonic risks
- Pair-copula constructions for non-Gaussian DAG models
- A multivariate volatility vine copula model
- scientific article; zbMATH DE number 7587392 (Why is no real title available?)
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Robust optimization of mixed CVaR STARR ratio using copulas
- Multivariate option pricing using copulae
- Robust pair-copula based forecasts of realized volatility
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Generalized diagonal band copulas
- Estimating standard errors in regular vine copula models
- Asymmetric dependence in the stochastic frontier model using skew normal copula
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- Conditional copula simulation for systemic risk stress testing
- CD-vine model for capturing complex dependence
- Vine-copula GARCH model with dynamic conditional dependence
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- Linking representations for multivariate extremes via a limit set
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Understanding relationships with the aggregate zonal imbalance using copulas
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- Generalized information matrix tests for copulas
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Vine copula regression for observational studies
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Selection of sparse vine copulas in high dimensions with the Lasso
- Selection of vine copulas
- Specification of informative prior distributions for multinomial models using vine copulas
- Spatial composite likelihood inference using local C-vines
- Toward a copula theory for multivariate regular variation
- Model selection for discrete regular vine copulas
- The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach
- Vine copula approximation: a generic method for coping with conditional dependence
- Multi-factor dependence modelling with specified marginals and structured association in large-scale project risk assessment
- Rayleigh copula for describing impedance data -- with application to condition monitoring of proton exchange membrane fuel cells
- Modeling dependent yearly claim totals including zero claims in private health insurance
- R-vine models for spatial time series with an application to daily mean temperature
- Copulas in machine learning
- Measuring the bullwhip effect with market competition among retailers: a simulation study
- On copula-based conditional quantile estimators
- Statistical dependence through common risk factors: With applications in uncertainty analysis
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Common sampling orders of regular vines with application to model selection
- Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
- Flexible copula density estimation with penalized hierarchical B-splines
- A copula-based GLMM model for multivariate longitudinal data with mixed-types of responses
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Truncated regular vines in high dimensions with application to financial data
- Nonparametric C- and D-vine-based quantile regression
- Bayesian model selection for D-vine pair-copula constructions
- Copula-based Black-Litterman portfolio optimization
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Data-driven polynomial chaos expansion for machine learning regression
- Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction
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