Probability density decomposition for conditionally dependent random variables modeled by vines
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Publication:2349802
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(only showing first 100 items - show all)- Tail dependence functions and vine copulas
- Time series with infinite-order partial copula dependence
- Stationary vine copula models for multivariate time series
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Dependence properties of conditional distributions of some copula models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Vine-copula GARCH model with dynamic conditional dependence
- Regime switches in the dependence structure of multidimensional financial data
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Robust optimization of mixed CVaR STARR ratio using copulas
- Bayesian model selection of regular vine copulas
- Dependent defaults and losses with factor copula models
- Model selection for discrete regular vine copulas
- Structure learning in Bayesian networks using regular vines
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- A Legendre multiwavelets approach to copula density estimation
- Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution
- Vine copula approximation: a generic method for coping with conditional dependence
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Multivariate extreme value copulas with factor and tree dependence structures
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Mixture of D-vine copulas for modeling dependence
- Vines -- a new graphical model for dependent random variables.
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Parameter estimation for pair-copula constructions
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Prediction based on conditional distributions of vine copulas
- Conditional copula simulation for systemic risk stress testing
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- A geometric investigation into the tail dependence of vine copulas
- Modelling mortality dependence: an application of dynamic vine copula
- A mixture of regular vines for multiple dependencies
- Robust omega ratio optimization using regular vines
- Copula-based Black-Litterman portfolio optimization
- Conditional empirical copula processes and generalized measures of association
- Mixed value-at-risk and its numerical investigation
- Regular vines with strongly chordal pattern of (conditional) independence
- Technical and allocative inefficiency in production systems: a vine copula approach
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Vine copula regression for observational studies
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Crisis and risk dependencies
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Estimating standard errors in regular vine copula models
- A journey beyond the Gaussian world. An interview with Harry Joe
- M-vine decomposition and VAR(1) models
- Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
- Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection
- Selection of sparse vine copulas in high dimensions with the Lasso
- Preface to special issue on high-dimensional dependence and copulas
- Sampling, conditionalizing, counting, merging, searching regular vines
- Truncation of vine copulas using fit indices
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Structured factor copula models: theory, inference and computation
- Spatial composite likelihood inference using local C-vines
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Generalized diagonal band copulas
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Measuring the bullwhip effect with market competition among retailers: a simulation study
- Predicting times to event based on vine copula models
- Vine copula statistical disclosure control for mixed-type data
- Intermuscular coupling network analysis of upper limbs based on R-vine copula transfer entropy
- Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach
- Construction of leading economic index for recession prediction using vine copulas
- Sequential Bayesian model selection of regular vine copulas
- Approximation multivariate distribution with pair copula using the orthonormal polynomial and Legendre multiwavelets basis functions
- Selection of vine copulas
- Toward a copula theory for multivariate regular variation
- Modeling dependent yearly claim totals including zero claims in private health insurance
- The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- Bayesian model selection for D-vine pair-copula constructions
- Default probability estimation via pair copula constructions
- Truncated regular vines in high dimensions with application to financial data
- Pair-copula constructions for non-Gaussian DAG models
- Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction
- Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence
- Generalized Additive Models for Pair-Copula Constructions
- A flexible and tractable class of one-factor copulas
- R-vine models for spatial time series with an application to daily mean temperature
- An empirical analysis of multivariate copula models
- Vines inference
- Vine constructions of Lévy copulas
- Simplified pair copula constructions -- limitations and extensions
- Factor copula models for multivariate data
- Measuring association and dependence between random vectors
- Comparison of estimators for pair-copula constructions
- A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Statistical arbitrage with vine copulas
- Pair copula constructions for multivariate discrete data
- Incorporating regular vines in estimation of distribution algorithms
- Pair copula constructions for insurance experience rating
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