Probability density decomposition for conditionally dependent random variables modeled by vines
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Publication:2349802
DOI10.1023/A:1016725902970zbMATH Open1314.62040OpenAlexW1590831612MaRDI QIDQ2349802FDOQ2349802
Publication date: 17 June 2015
Published in: Annals of Mathematics and Artificial Intelligence (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1016725902970
Recommendations
correlationinformationdependenceGibbs samplingmultivariate probability distributionMonte-Carlo simulationtree dependenceMarkov treeBayesian belief netvine dependence
Statistical aspects of information-theoretic topics (62B10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory of statistical distributions (62E10) Measures of information, entropy (94A17) Knowledge representation (68T30)
Cited In (only showing first 100 items - show all)
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- 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
- 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
- Detecting and modeling critical dependence structures between random inputs of computer models
- Optimizing effective numbers of tests by vine copula modeling
- Variational inference for high dimensional structured factor copulas
- Vines -- a new graphical model for dependent random variables.
- Modelling mortality dependence: an application of dynamic vine copula
- Parameter estimation for pair-copula constructions
- Sequential Bayesian model selection of regular vine copulas
- Mixture of D-vine copulas for modeling dependence
- Pair-copula constructions for non-Gaussian DAG models
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Robust optimization of mixed CVaR STARR ratio using copulas
- Estimating standard errors in regular vine copula models
- Conditional copula simulation for systemic risk stress testing
- Vine copula regression for observational studies
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Modeling dependent yearly claim totals including zero claims in private health insurance
- Structured factor copula models: theory, inference and computation
- Efficient computation of multivariate empirical distribution functions at the observed values
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Truncated regular vines in high dimensions with application to financial data
- Bayesian model selection for D-vine pair-copula constructions
- Tail order and intermediate tail dependence of multivariate copulas
- Sampling, conditionalizing, counting, merging, searching regular vines
- Robust omega ratio optimization using regular vines
- An empirical analysis of multivariate copula models
- Generalized additive models for conditional dependence structures
- Default probability estimation via pair copula constructions
- Multivariate extreme value copulas with factor and tree dependence structures
- Toward a Copula Theory for Multivariate Regular Variation
- Generalized Additive Models for Pair-Copula Constructions
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Pair Copula Constructions for Multivariate Discrete Data
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Testing the simplifying assumption in high-dimensional vine copulas
- R‐vine models for spatial time series with an application to daily mean temperature
- A flexible and tractable class of one-factor copulas
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Modelling credit card exposure at default using vine copula quantile regression
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Regime switches in the dependence structure of multidimensional financial data
- Factor tree copula models for item response data
- Factor copula models for multivariate data
- MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS
- Stationary vine copula models for multivariate time series
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Crisis and risk dependencies
- Simplified pair copula constructions -- limitations and extensions
- Vine Copula Specifications for Stationary Multivariate Markov Chains
- Time series models with infinite-order partial copula dependence
- A closed-form universal trivariate pair-copula
- Preface to special issue on high-dimensional dependence and copulas
- Conditional empirical copula processes and generalized measures of association
- Dependence properties of conditional distributions of some copula models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Tail dependence functions and vine copulas
- Multivariate dependence modeling based on comonotonic factors
- Measuring association and dependence between random vectors
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Copula directed acyclic graphs
- Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- Vine constructions of Lévy copulas
- A goodness-of-fit test for regular vine copula models
- How random is a random vector?
- Statistical arbitrage with vine copulas
- Financial dependence analysis: applications of vine copulas
- Title not available (Why is that?)
- Modeling Influenza-Like Illness Activity in the United States
- 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 multivariate volatility vine copula model
- Multivariate option pricing using copulae
- Robust pair-copula based forecasts of realized volatility
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Generalized diagonal band copulas
- CD-vine model for capturing complex dependence
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Linking representations for multivariate extremes via a limit set
- Vine-copula GARCH model with dynamic conditional dependence
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Generalized information matrix tests for copulas
- Selection of sparse vine copulas in high dimensions with the Lasso
- Spatial composite likelihood inference using local C-vines
- Bayesian model selection of regular vine copulas
- Model selection for discrete regular vine copulas
- Title not available (Why is that?)
- Title not available (Why is that?)
- Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk
- Vine copula approximation: a generic method for coping with conditional dependence
- Measuring the bullwhip effect with market competition among retailers: a simulation study
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
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