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   Articles with "vine copula" as a keyword



Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium

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recommendations! Published in 2018 at "Journal of Forecasting"

DOI: 10.1002/for.2506

Abstract: We propose a new portfolio optimization method combining the merits of the shrinkage estimation (Jorion, 1985, 1986 and 1991), vine-copula structure (Aas and Berg, 2009), and Black-Litterman model (Black and Litterman, 1991 and 1992). It… read more here.

Keywords: asset allocation; asset; vine copula; shrinkage ... See more keywords

Evaluating Climate Change Impacts on Streamflow Changes in the Source Region of Yellow River: A Bayesian Vine Copula Machine Learning (BVC‐ML) Approach

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recommendations! Published in 2025 at "International Journal of Climatology"

DOI: 10.1002/joc.8821

Abstract: In this study, we proposed a Bayesian Vine Copula Machine Learning (BVC‐ML) method to predict streamflow changes in the Yellow River source area based on projections from three GCMs under various climate change scenarios. The… read more here.

Keywords: copula; climate change; bvc method; vine copula ... See more keywords

Vine copula models for predicting water flow discharge at King George Island, Antarctica

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recommendations! Published in 2018 at "Stochastic Environmental Research and Risk Assessment"

DOI: 10.1007/s00477-018-1599-9

Abstract: In order to understand the behavior of the glaciers, their mass balance should be studied. The loss of water produced by melting, known as glacier discharge, is one of the components of this mass balance.… read more here.

Keywords: glacier discharge; vine copula; king george; discharge ... See more keywords

Quantifying effects of compound dry-hot extremes on vegetation in Xinjiang (China) using a vine-copula conditional probability model

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recommendations! Published in 2021 at "Agricultural and Forest Meteorology"

DOI: 10.1016/j.agrformet.2021.108658

Abstract: Abstract Extreme events (e.g., drought and heatwave) occur frequently and intensively with climate change, where the combination of dry and hot events has catastrophic impacts on terrestrial ecosystems. It is challenged to quantitatively understand the… read more here.

Keywords: dry hot; hot events; probability; vine copula ... See more keywords

Nonlinear and Non-Gaussian Process Monitoring Based on Simplified R-Vine Copula

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recommendations! Published in 2018 at "Industrial & Engineering Chemistry Research"

DOI: 10.1021/acs.iecr.8b00701

Abstract: In the field of chemical process monitoring, the vine copula model provides a new idea for describing the interdependence between high-dimensional complex variables, and directly characterizes the correlation without dimensional reduction. However, in actual industrial… read more here.

Keywords: vine; non gaussian; vine copula; based simplified ... See more keywords

Hamiltonian Monte Carlo-Based D-Vine Copula Regression Model for Soft Sensor Modeling of Complex Chemical Processes

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recommendations! Published in 2020 at "Industrial & Engineering Chemistry Research"

DOI: 10.1021/acs.iecr.9b05370

Abstract: Nonlinear processes and non-Gaussian properties are challenging subjects for soft sensor modeling of chemical processes. In this paper, we propose a D-vine copula regression method based on a Hamiltonian Monte Carlo (HMC) sampling strategy (HMCCR).… read more here.

Keywords: soft sensor; regression; vine copula; method ... See more keywords

Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach

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recommendations! Published in 2019 at "Applied Economics"

DOI: 10.1080/00036846.2019.1705240

Abstract: ABSTRACT We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13… read more here.

Keywords: pair vine; risk; dependence; vine copula ... See more keywords

Bayesian ridge estimators based on a vine copula-based prior in Poisson and negative binomial regression models

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recommendations! Published in 2024 at "Journal of Statistical Computation and Simulation"

DOI: 10.1080/00949655.2024.2408351

Abstract: Poisson and negative binomial regressions are popular methods for modelling the relationship between a count variable and explanatory variables. In the presence of multicollinearity, ridge regression is an alternative to the maximum likelihood estimation for… read more here.

Keywords: poisson negative; vine copula; regression; ridge estimators ... See more keywords

Vine copula models with GLM and sparsity

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recommendations! Published in 2017 at "Communications in Statistics - Theory and Methods"

DOI: 10.1080/03610926.2015.1122061

Abstract: ABSTRACT Vine copula provides a flexible tool to capture asymmetry in modeling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying… read more here.

Keywords: models glm; glm sparsity; vine copula; copula models ... See more keywords

Conditional dependence between oil price and stock prices of renewable energy: a vine copula approach

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recommendations! Published in 2018 at "Economic and Political Studies"

DOI: 10.1080/20954816.2018.1463600

Abstract: Abstract The current paper focusses on the co-movement between oil prices and renewable energy stock markets in a multivariate framework. The vine copula approach that offers a great flexibility in conditional dependence modelling is used.… read more here.

Keywords: dependence; energy; vine copula; prices renewable ... See more keywords

Process monitoring via dependence description based on variable selection and vine copula

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recommendations! Published in 2024 at "Measurement Science and Technology"

DOI: 10.1088/1361-6501/ad1e1e

Abstract: Process monitoring is crucial to ensure the safety of industrial processes. Generally, the monitoring process involves all measured variables; however, large industrial processes contain many redundant variables. For a method based on describing the intrinsic… read more here.

Keywords: vine copula; process; dependence description;