Vine copula
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Vine Copula Based Modeling Open
With the availability of massive multivariate data comes a need to develop flexible multivariate distribution classes. The copula approach allows marginal models to be constructed for each variable separately and joined with a dependence s…
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A Framework for Exploring Joint Effects of Conditional Factors on Compound Floods Open
This study highlights the features of vine copula for examining compound events involving underlying conditions that amply the compounding effects. To illustrate, we study compound floods in Texas (TX), USA. These compound floods consist o…
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Estimating propagation probability from meteorological to ecological droughts using a hybrid machine learning copula method Open
The impact of droughts on vegetation is essentially manifested as the transition of water shortage from the meteorological to ecological stages. Therefore, understanding the mechanism of drought propagation from meteorological to ecologica…
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Pair Copula Constructions for Insurance Experience Rating Open
In nonlife insurance, insurers use experience rating to adjust premiums to reflect policyholders’ previous claim experience. Performing prospective experience rating can be challenging when the claim distribution is complex. For instance, …
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Modeling the spatial dependence of floods using the Fisher copula Open
Floods often affect not only a single location, but also a whole region. Flood frequency analysis should therefore be undertaken at a regional scale which requires the considerations of the dependence of events at different locations. This…
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Regime Switching Vine Copula Models for Global Equity and Volatility Indices Open
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in …
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Re-examination of international bond market dependence: Evidence from a pair copula approach Open
The finance literature provides substantial evidence on the dependence between international bond markets
\nacross developed and emerging countries. Early works in this area were based on linear models and multivariate
\nGARCH models. Howe…
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Forecasted Scenarios of Regional Wind FarmsBased on Regular Vine Copulas Open
Owing to the uncertainty and volatility of wind energy, forecasted wind power scenarios with proper spatio-temporal correlations are needed in various decision-making problems involving power systems. In this study, forecasted scenarios ar…
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Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools Open
As recent events have shown, simultaneous crop losses in different parts of the world can cause serious risks to global food security. However, to date, little is known about the spatial dependency of lower than expected crop yields from g…
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Probabilistic forecasting of photovoltaic power supply — A hybrid approach using D-vine copulas to model spatial dependencies Open
The fast growth of installed photovoltaic capacity is leading to an increasing impact of variable photovoltaic generation on the overall electricity industry, affecting all stakeholders in this sector. As a consequence, the importance of a…
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Copulae: An overview and recent developments Open
Over the decades that have passed since they were introduced, copulae still remain a very powerful tool for modeling and estimating multivariate distributions. This work gives an overview of copula theory and it also summarizes the latest …
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Learning Vine Copula Models for Synthetic Data Generation Open
A vine copula model is a flexible high-dimensional dependence model which uses only bivariate building blocks. However, the number of possible configurations of a vine copula grows exponentially as the number of variables increases, making…
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Fusion of Correlated Decisions Using Regular Vine Copulas Open
In this paper, we propose a regular vine copula based methodology for the fusion of correlated decisions. Regular vine copula is an extremely flexible and powerful graphical model to characterize complex dependence among multiple modalitie…
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A Vine-Copula Model for Time Series of Significant Wave Heights and Mean Zero-Crossing Periods in the North Sea Open
Stochastic descriptions and simulations of oceanographic variables are essential for coastal and marine engineering applications. In the past decade, copula-based approaches have become increasingly popular for estimating the multivariate …
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Improved probabilistic load flow method based on D‐vine copulas and Latin hypercube sampling in distribution network with multiple wind generators Open
In this study, a D‐vine copulas modelling based probabilistic load flow (PLF) computation method is proposed, which considers the dependence among multiple wind generators. Furthermore, this method is not restricted by the type of wind spe…
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Risk Measurement and Risk Modelling Using Applications of Vine Copulas Open
This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is …
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Probabilistic Projections of Multidimensional Flood Risks at a Convection‐Permitting Scale Open
Understanding future river flood risk is a prerequisite for developing climate change adaptation strategies and enhancing disaster resilience. Previous flood risk assessments can barely take into account future changes of fine‐scale hydroc…
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Dependence structure across equity sectors: Evidence from vine copulas Open
Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and da…
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Vine Signal Extraction – an Application of Remote Sensing in Precision Viticulture Open
This paper presents a study of precision agriculture in the wine industry. While precision viticulture mostly aimsto maximise yields by delivering the right inputs to appropriate places on a farm in the correct doses and at theright time, …
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The risk and consequences of multiple breadbasket failures: an integrated copula and multilayer agent-based modeling approach Open
Climate shocks to food systems have been thoroughly researched in terms of food security and supply chain management. However, sparse research exists on the dependent nature of climate shocks on food-producing breadbasket regions and their…
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Financial stress relationships among Euro area countries: an R-vine copula approach Open
One of the biggest challenges of keeping Euro area financial stability is the negative co-movement between the vulnerability of public finance, the financial sector, security markets stresses as well as economic growth, especially in perip…
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Parametric Vine Copula Construction for Flood Analysis for Kelantan River Basin in Malaysia Open
The multivariate approach of flood characteristics such as flood peak flow (P), volume (V), and duration (D) is much beneficial in recognizing the critical behaviour of flood episodes at a river basin scale. The incorporation of 2-dimensio…
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Parametric Vine Copula Framework in the Trivariate Probability Analysis of Compound Flooding Events Open
The interaction between oceanographic, meteorological, and hydrological factors can result in an extreme flooding scenario in the low-lying coastal area, called compound flooding (CF) events. For instance, rainfall and storm surge (or high…
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The linkage between Bitcoin and foreign exchanges in developed and emerging markets Open
This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models…
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A Vine Copula-Based Modeling for Identification of Multivariate Water Pollution Risk in an Interconnected River System Network Open
The Interconnected River System Network (IRSN) has become a popular and useful measure to realize the long-term health and stability of water bodies. However, there are lots of uncertain consequences derived from natural and anthropogenic …
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<b>covsim</b>: An <i>R</i> Package for Simulating Non-Normal Data for Structural Equation Models Using Copulas Open
In factor analysis and structural equation modeling non-normal data simulation is traditionally performed by specifying univariate skewness and kurtosis together with the target covariance matrix. However, this leaves little control over t…
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Application of Vine Copulas to Credit Portfolio Risk Modeling Open
In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine c…
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Trivariate joint frequency analysis of water resources deficiency signatures using vine copulas Open
Investigating the interaction of water resources such as rainfall, river flow and groundwater level can be useful to know the behavior of water balance in a basin. In this study, using the rainfall, river flow and groundwater level deficie…
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Comparison between canonical vine copulas and a meta-Gaussian model for forecasting agricultural drought over China Open
Agricultural drought mainly stems from reduced soil moisture and precipitation, and it causes adverse impacts on the growth of crops and vegetation, thereby affecting agricultural production and food security. In order to develop drought m…
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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders Open
We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencoder (AE) compresses the data into a lower dimensional repres…