Vines -- a new graphical model for dependent random variables.
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Publication:1848964
DOI10.1214/AOS/1031689016zbMATH Open1101.62339OpenAlexW1994403842WikidataQ56865712 ScholiaQ56865712MaRDI QIDQ1848964FDOQ1848964
Authors: Tim Bedford, R. M. Cooke 
Publication date: 14 November 2002
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1031689016
Recommendations
informationmultivariate normal distributiondependenceMonte Carlo simulationmultivariate probability distributionCorrelationtree dependenceMarkov treebelief net
Multivariate distribution of statistics (62H10) Applications of graph theory (05C90) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Trees (05C05)
Cites Work
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Cited In (only showing first 100 items - show all)
- Pair copula constructions for multivariate discrete data
- Comparison of estimators for pair-copula constructions
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Derivatives and Fisher information of bivariate copulas
- Estimating non-simplified vine copulas using penalized splines
- Distribution-free continuous Bayesian belief nets
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Prediction based on conditional distributions of vine copulas
- Parameter estimation for pair-copula constructions
- Constructing hierarchical archimedean copulas with Lévy subordinators
- 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
- Vine copula specifications for stationary multivariate Markov chains
- Mixture of D-vine copulas for modeling dependence
- Pair-copula constructions for non-Gaussian DAG models
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Estimating standard errors in regular vine copula models
- Conditional copula simulation for systemic risk stress testing
- Vine copula regression for observational studies
- On copula-based conditional quantile estimators
- Flexible copula density estimation with penalized hierarchical B-splines
- Truncated regular vines in high dimensions with application to financial data
- Bayesian model selection for D-vine pair-copula constructions
- Nonparametric C- and D-vine-based quantile regression
- Copula selection for graphical models in continuous estimation of distribution algorithms
- An empirical analysis of multivariate copula models
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Default probability estimation via pair copula constructions
- Global correlation and uncertainty accounting
- Multivariate extreme value copulas with factor and tree dependence structures
- Hypergraphs as a mean of discovering the dependence structure of a discrete multivariate probability distribution
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- D-vine copula based quantile regression
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Robust Bayesian synthetic likelihood via a semi-parametric approach
- Testing the simplifying assumption in high-dimensional vine copulas
- A parameterization of positive definite matrices in terms of partial correlation vines
- Parsimonious graphical dependence models constructed from vines
- A flexible and tractable class of one-factor copulas
- Model-based clustering using copulas with applications
- The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- Estimation of copula models with discrete margins via Bayesian data augmentation
- Modelling credit card exposure at default using vine copula quantile regression
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- On a class of circulas: copulas for circular distributions
- Partial correlation with copula modeling
- Stationary vine copula models for multivariate time series
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Nonparametric testing for no covariate effects in conditional copulas
- Crisis and risk dependencies
- Simplified pair copula constructions -- limitations and extensions
- Beyond simplified pair-copula constructions
- Time series with infinite-order partial copula dependence
- Surrogate modeling of high-dimensional problems via data-driven polynomial chaos expansions and sparse partial least square
- Vines inference
- On Families of Distributions with Shape Parameters
- Copula-based semiparametric models for multivariate time series
- Dependence properties of conditional distributions of some copula models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Hierarchical Archimedean copulas through multivariate compound distributions
- Factor copula approaches for assessing spatially dependent high-dimensional risks
- Tail dependence functions and vine copulas
- Finite normal mixture copulas for multivariate discrete data modeling
- Completion problem with partial correlation vines
- Partial and average copulas and association measures
- Measuring association and dependence between random vectors
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
- On the structure and estimation of hierarchical Archimedean copulas
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- Vine constructions of Lévy copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
- Generating random correlation matrices based on vines and extended onion method
- Covariance model simulation using regular vines
- Statistical arbitrage with vine copulas
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Constraint-based learning for non-parametric continuous Bayesian networks
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Modelling mortality dependence with regime-switching copulas
- Title not available (Why is that?)
- 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
- Modelling mortality dependence: an application of dynamic vine copula
- Title not available (Why is that?)
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Robust optimization of mixed CVaR STARR ratio using copulas
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- Vine-copula GARCH model with dynamic conditional dependence
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Selection of vine copulas
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Toward a copula theory for multivariate regular variation
- Specification of informative prior distributions for multinomial models using vine copulas
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