Vines -- a new graphical model for dependent random variables.
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Cited in
(only showing first 100 items - show all)- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Statistical arbitrage with vine copulas
- A practical model of Heineken's bottle filling line with dependent failures
- Bayesian estimation of generalized partition of unity copulas
- Detecting and modeling critical dependence structures between random inputs of computer models
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- Toward a copula theory for multivariate regular variation
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Simplified R-vine based forward regression
- Variational inference for high dimensional structured factor copulas
- Specification of informative prior distributions for multinomial models using vine copulas
- Robust optimization of mixed CVaR STARR ratio using copulas
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- Constraint-based learning for non-parametric continuous Bayesian networks
- Modelling mortality dependence: an application of dynamic vine copula
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- scientific article; zbMATH DE number 7587392 (Why is no real title available?)
- Vine-copula GARCH model with dynamic conditional dependence
- Generalized Additive Models for Pair-Copula Constructions
- Generalized additive models for conditional dependence structures
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
- Mixed value-at-risk and its numerical investigation
- Assessing high-risk scenarios by full-range tail dependence copulas
- Model selection for discrete regular vine copulas
- Modelling mortality dependence with regime-switching copulas
- Managing risk with a realized copula parameter
- Smooth nonparametric Bernstein vine copulas
- A goodness-of-fit test for regular vine copula models
- Sparse covariance estimation in heterogeneous samples
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Robust omega ratio optimization using regular vines
- Copula-based Black-Litterman portfolio optimization
- Dependent defaults and losses with factor copula models
- Modeling multivariate cybersecurity risks
- \(d\)-dimensional dependence functions and Archimax copulas
- On the weak convergence of the empirical conditional copula under a simplifying assumption
- Modeling dependent yearly claim totals including zero claims in private health insurance
- Conditional empirical copula processes and generalized measures of association
- scientific article; zbMATH DE number 1531986 (Why is no real title available?)
- Copula directed acyclic graphs
- A closed-form universal trivariate pair-copula
- R-vine models for spatial time series with an application to daily mean temperature
- The asymptotic distribution of the determinant of a random correlation matrix
- Data-driven polynomial chaos expansion for machine learning regression
- Preface to special issue on high-dimensional dependence and copulas
- How random is a random vector?
- Vine copula approximation: a generic method for coping with conditional dependence
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- A Bayesian hierarchical copula model
- Regime switches in the dependence structure of multidimensional financial data
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Selection of vine copulas
- Sampling, conditionalizing, counting, merging, searching regular vines
- On the construction of minimum information bivariate copula families
- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Common sampling orders of regular vines with application to model selection
- Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
- Variational inference with vine copulas: an efficient approach for Bayesian computer model calibration
- Flexible copula density estimation with penalized hierarchical B-splines
- Parameter estimation for pair-copula constructions
- Dependence properties of conditional distributions of some copula models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Nonparametric testing for no covariate effects in conditional copulas
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- A flexible and tractable class of one-factor copulas
- Model-based clustering using copulas with applications
- Conditional copula simulation for systemic risk stress testing
- Copula selection for graphical models in continuous estimation of distribution algorithms
- An empirical analysis of multivariate copula models
- Vine copula specifications for stationary multivariate Markov chains
- Partial and average copulas and association measures
- The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- Hypergraphs as a mean of discovering the dependence structure of a discrete multivariate probability distribution
- Estimating non-simplified vine copulas using penalized splines
- Distribution-free continuous Bayesian belief nets
- Bayesian model selection for D-vine pair-copula constructions
- A parameterization of positive definite matrices in terms of partial correlation vines
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Nonparametric C- and D-vine-based quantile regression
- On a class of circulas: copulas for circular distributions
- Parsimonious graphical dependence models constructed from vines
- Hierarchical Archimedean copulas through multivariate compound distributions
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Time series with infinite-order partial copula dependence
- Vine copulas with asymmetric tail dependence and applications to financial return data
- D-vine copula based quantile regression
- Stationary vine copula models for multivariate time series
- Vines inference
- Vine constructions of Lévy copulas
- Factor copula approaches for assessing spatially dependent high-dimensional risks
- On the structure and estimation of hierarchical Archimedean copulas
- Estimation of copula models with discrete margins via Bayesian data augmentation
- Pair copula constructions for multivariate discrete data
- Measuring association and dependence between random vectors
- Pair-copula constructions of multiple dependence
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
- Selecting and estimating regular vine copulae and application to financial returns
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