Uncertainty Analysis with High Dimensional Dependence Modelling
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Publication:3377862
DOI10.1002/0470863072zbMATH Open1096.62073OpenAlexW2482072357MaRDI QIDQ3377862FDOQ3377862
Publication date: 29 March 2006
Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/0470863072
Recommendations
Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices
- Aggregating expert judgement
- Parameter estimation for pair-copula constructions
- Least squares type estimation for Cox regression model and specification error
- Sequential Bayesian model selection of regular vine copulas
- Mixture of D-vine copulas for modeling dependence
- Pair-copula constructions for non-Gaussian DAG models
- Robust optimization of mixed CVaR STARR ratio using copulas
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Estimating standard errors in regular vine copula models
- Conditional copula simulation for systemic risk stress testing
- Vine-copula GARCH model with dynamic conditional dependence
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
- Copula in a multivariate mixed discrete-continuous model
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation
- Bayesian model selection of regular vine copulas
- Model selection for discrete regular vine copulas
- Modeling dependent yearly claim totals including zero claims in private health insurance
- Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
- Truncated regular vines in high dimensions with application to financial data
- Bayesian model selection for D-vine pair-copula constructions
- Inverse regression-based uncertainty quantification algorithms for high-dimensional models: theory and practice
- A moment method for the multivariate asymmetric Laplace distribution
- Variational inference with vine copulas: an efficient approach for Bayesian computer model calibration
- Latin hypercube sampling with inequality constraints
- Copula selection for graphical models in continuous estimation of distribution algorithms
- Eliciting expert judgements about a set of proportions
- The asymptotic distribution of the determinant of a random correlation matrix
- On the construction of minimum information bivariate copula families
- Default probability estimation via pair copula constructions
- Selection of Vine Copulas
- Toward a Copula Theory for Multivariate Regular Variation
- Structure learning in Bayesian networks using regular vines
- Non-parametric Bayesian networks for parameter estimation in reservoir simulation: a graphical take on the ensemble Kalman filter. I
- Selecting and estimating regular vine copulae and application to financial returns
- Pair Copula Constructions for Multivariate Discrete Data
- Dimensionality reduction for data of unknown cluster structure
- R‐vine models for spatial time series with an application to daily mean temperature
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Factor tree copula models for item response data
- On a class of circulas: copulas for circular distributions
- A probabilistic graphical model based stochastic input model construction
- Partial correlation with copula modeling
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Conditionalization of Copula-Based Models
- Extreme value properties of multivariate \(t\) copulas
- Vine Copula Specifications for Stationary Multivariate Markov Chains
- Time series models with infinite-order partial copula dependence
- Compatible matrices of Spearman's rank correlation
- A closed-form universal trivariate pair-copula
- Preface to special issue on high-dimensional dependence and copulas
- On Families of Distributions with Shape Parameters
- Factor Copula Models for Replicated Spatial Data
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Polynomial chaos representation of spatio-temporal random fields from experimental measurements
- Tail dependence functions and vine copulas
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis
- Copula directed acyclic graphs
- Eliciting Dirichlet and Gaussian copula prior distributions for multinomial models
- Generating random correlation matrices based on vines and extended onion method
- Financial dependence analysis: applications of vine copulas
- Toward an integrated Bayesian network approach to measurement error detection and correction
- Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model
- Spatial pair-copula model of grade for an anisotropic gold deposit
- Ordering results for elliptical distributions with applications to risk bounds
- A multivariate volatility vine copula model
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Conditional normal extreme-value copulas
- Expert Knowledge Elicitation: Subjective but Scientific
- An enhanced two-quantile Wilks methodology for engineering uncertainty analysis
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Generalized information matrix tests for copulas
- Proportional marginal effects for global sensitivity analysis
- Selection of sparse vine copulas in high dimensions with the Lasso
- Title not available (Why is that?)
- Multi-factor dependence modelling with specified marginals and structured association in large-scale project risk assessment
- A copula model for non-Gaussian multivariate spatial data
- Statistical dependence through common risk factors: With applications in uncertainty analysis
- Pair Copula Constructions for Insurance Experience Rating
- Incorporating Regular Vines in Estimation of Distribution Algorithms
- Copulae: an overview and recent developments
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Modeling biased information seeking with second order probability distributions
- Title not available (Why is that?)
- On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions
- A geometric investigation into the tail dependence of vine copulas
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Modeling vine-production function: an approach based on vine copula
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Copula modeling from Abe Sklar to the present day
- Supermodular and directionally convex comparison results for general factor models
- Agent-based modeling in medical research, virtual baseline generator and change in patients' profile issue
- Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence
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