Probability density decomposition for conditionally dependent random variables modeled by vines
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Publication:2349802
DOI10.1023/A:1016725902970zbMATH Open1314.62040OpenAlexW1590831612MaRDI QIDQ2349802FDOQ2349802
Authors: Tim Bedford, R. M. Cooke 
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)
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- Portfolio optimization of energy commodity futures returns with minimum information copula
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- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
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- Incorporating regular vines in estimation of distribution algorithms
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- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Vine copulas with asymmetric tail dependence and applications to financial return data
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- Optimizing effective numbers of tests by vine copula modeling
- Variational inference for high dimensional structured factor copulas
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