Zanotto, Alberto; Clemente, Gian Paolo An optimal reinsurance simulation model for non-life insurance in the Solvency II framework. (English) Zbl 07564446 Eur. Actuar. J. 12, No. 1, 89-123 (2022). MSC: 91B30 PDF BibTeX XML Cite \textit{A. Zanotto} and \textit{G. P. Clemente}, Eur. Actuar. J. 12, No. 1, 89--123 (2022; Zbl 07564446) Full Text: DOI OpenURL
Zhai, Jian; James, Robert; Prokhorov, Artem Technical and allocative inefficiency in production systems: a vine copula approach. (English) Zbl 07547645 Depend. Model. 10, 145-158 (2022). MSC: 62P20 62H05 91B38 PDF BibTeX XML Cite \textit{J. Zhai} et al., Depend. Model. 10, 145--158 (2022; Zbl 07547645) Full Text: DOI OpenURL
Bladt, Martin; McNeil, Alexander J. Time series with infinite-order partial copula dependence. (English) Zbl 07547642 Depend. Model. 10, 87-107 (2022). MSC: 62M10 62M05 62H05 60G10 60G15 60G22 PDF BibTeX XML Cite \textit{M. Bladt} and \textit{A. J. McNeil}, Depend. Model. 10, 87--107 (2022; Zbl 07547642) Full Text: DOI OpenURL
Zhu, Kailun; Kurowicka, Dorota Regular vines with strongly chordal pattern of (conditional) independence. (English) Zbl 07533761 Comput. Stat. Data Anal. 172, Article ID 107461, 24 p. (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{K. Zhu} and \textit{D. Kurowicka}, Comput. Stat. Data Anal. 172, Article ID 107461, 24 p. (2022; Zbl 07533761) Full Text: DOI OpenURL
Mi, D.; Zhang, W.; Li, J. W.; Jiang, C. A copula-function-based structural system reliability analysis method. (English) Zbl 07531643 Acta Mech. 233, No. 4, 1371-1391 (2022). MSC: 62Hxx 74-XX 65Cxx PDF BibTeX XML Cite \textit{D. Mi} et al., Acta Mech. 233, No. 4, 1371--1391 (2022; Zbl 07531643) Full Text: DOI OpenURL
Li, Zhengxiao; Beirlant, Jan; Yang, Liang A new class of copula regression models for modelling multivariate heavy-tailed data. (English) Zbl 07525960 Insur. Math. Econ. 104, 243-261 (2022). MSC: 91G05 62P05 62H05 62G32 PDF BibTeX XML Cite \textit{Z. Li} et al., Insur. Math. Econ. 104, 243--261 (2022; Zbl 07525960) Full Text: DOI OpenURL
Nagler, Thomas; Krüger, Daniel; Min, Aleksey Stationary vine copula models for multivariate time series. (English) Zbl 07491162 J. Econom. 227, No. 2, 305-324 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{T. Nagler} et al., J. Econom. 227, No. 2, 305--324 (2022; Zbl 07491162) Full Text: DOI arXiv OpenURL
Tjøstheim, Dag; Otneim, Håkon; Støve, Bård Statistical dependence: beyond Pearson’s \(\rho\). (English) Zbl 07474199 Stat. Sci. 37, No. 1, 90-109 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{D. Tjøstheim} et al., Stat. Sci. 37, No. 1, 90--109 (2022; Zbl 07474199) Full Text: DOI arXiv OpenURL
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf Copula-based Black-Litterman portfolio optimization. (English) Zbl 07442954 Eur. J. Oper. Res. 297, No. 3, 1055-1070 (2022). MSC: 91G10 62P05 62H05 91G70 PDF BibTeX XML Cite \textit{M. Sahamkhadam} et al., Eur. J. Oper. Res. 297, No. 3, 1055--1070 (2022; Zbl 07442954) Full Text: DOI OpenURL
Zhi, Bangdong; Wang, Xiaojun; Xu, Fangming Portfolio optimization for inventory financing: copula-based approaches. (English) Zbl 07486269 Comput. Oper. Res. 136, Article ID 105481, 11 p. (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{B. Zhi} et al., Comput. Oper. Res. 136, Article ID 105481, 11 p. (2021; Zbl 07486269) Full Text: DOI OpenURL
Yin, Xuluo Measuring the bullwhip effect with market competition among retailers: a simulation study. (English) Zbl 07485350 Comput. Oper. Res. 132, Article ID 105341, 11 p. (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{X. Yin}, Comput. Oper. Res. 132, Article ID 105341, 11 p. (2021; Zbl 07485350) Full Text: DOI OpenURL
Ozan Evkaya, O.; Yozgatlıgil, Ceylan; Sevtap Selcuk-Kestel, A. CD-vine model for capturing complex dependence. (English) Zbl 07484661 J. Appl. Stat. 48, No. 13-15, 2406-2420 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{O. Ozan Evkaya} et al., J. Appl. Stat. 48, No. 13--15, 2406--2420 (2021; Zbl 07484661) Full Text: DOI OpenURL
Wang, Kangning; Hao, Mengjie; Sun, Xiaofei Robust and efficient estimating equations for longitudinal data partial linear models and its applications. (English) Zbl 1482.62051 Stat. Pap. 62, No. 5, 2147-2168 (2021). MSC: 62G08 62G05 62G20 62G35 PDF BibTeX XML Cite \textit{K. Wang} et al., Stat. Pap. 62, No. 5, 2147--2168 (2021; Zbl 1482.62051) Full Text: DOI OpenURL
Salazar Flores, Yuri; Díaz-Hernández, Adán Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management. (English) Zbl 1480.62215 Stat. Methods Appl. 30, No. 2, 375-407 (2021). MSC: 62P05 62H05 91G10 PDF BibTeX XML Cite \textit{Y. Salazar Flores} and \textit{A. Díaz-Hernández}, Stat. Methods Appl. 30, No. 2, 375--407 (2021; Zbl 1480.62215) Full Text: DOI OpenURL
Jaser, Miriam; Min, Aleksey On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity. (English) Zbl 07432202 Comput. Stat. 36, No. 3, 1845-1870 (2021). MSC: 65C60 PDF BibTeX XML Cite \textit{M. Jaser} and \textit{A. Min}, Comput. Stat. 36, No. 3, 1845--1870 (2021; Zbl 07432202) Full Text: DOI OpenURL
Bücher, Axel; Jaser, Miriam; Min, Aleksey Detecting departures from meta-ellipticity for multivariate stationary time series. (English) Zbl 1473.62302 Depend. Model. 9, 121-140 (2021). MSC: 62M10 62H15 62P05 PDF BibTeX XML Cite \textit{A. Bücher} et al., Depend. Model. 9, 121--140 (2021; Zbl 1473.62302) Full Text: DOI OpenURL
Aas, Kjersti; Nagler, Thomas; Jullum, Martin; Løland, Anders Explaining predictive models using Shapley values and non-parametric vine copulas. (English) Zbl 1473.62101 Depend. Model. 9, 62-81 (2021). MSC: 62G05 62H05 68T01 91A12 PDF BibTeX XML Cite \textit{K. Aas} et al., Depend. Model. 9, 62--81 (2021; Zbl 1473.62101) Full Text: DOI arXiv OpenURL
Krupskii, Pavel; Genton, Marc G. Conditional normal extreme-value copulas. (English) Zbl 1475.62163 Extremes 24, No. 3, 403-431 (2021). MSC: 62H05 60G70 62P20 62P35 PDF BibTeX XML Cite \textit{P. Krupskii} and \textit{M. G. Genton}, Extremes 24, No. 3, 403--431 (2021; Zbl 1475.62163) Full Text: DOI arXiv OpenURL
Alanazi, Fadhah Amer Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets. (English) Zbl 1486.62144 Int. J. Math. Math. Sci. 2021, Article ID 3214262, 14 p. (2021). MSC: 62H05 62H20 62P05 62H12 PDF BibTeX XML Cite \textit{F. A. Alanazi}, Int. J. Math. Math. Sci. 2021, Article ID 3214262, 14 p. (2021; Zbl 1486.62144) Full Text: DOI OpenURL
von Loeper, Freimut; Kirstein, Tom; Idlbi, Basem; Ruf, Holger; Heilscher, Gerd; Schmidt, Volker Probabilistic analysis of solar power supply using D-vine copulas based on meteorological variables. (English) Zbl 1472.62169 Göttlich, Simone (ed.) et al., Mathematical modeling, simulation and optimization for power engineering and management. Cham: Springer. Math. Ind. 34, 51-68 (2021). MSC: 62P30 62H05 PDF BibTeX XML Cite \textit{F. von Loeper} et al., Math. Ind. 34, 51--68 (2021; Zbl 1472.62169) Full Text: DOI OpenURL
Mroz, Thomas; Fuchs, Sebastian; Trutschnig, Wolfgang How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond. (English) Zbl 1471.62359 Electron. J. Stat. 15, No. 1, 1951-1992 (2021). MSC: 62H05 62A01 PDF BibTeX XML Cite \textit{T. Mroz} et al., Electron. J. Stat. 15, No. 1, 1951--1992 (2021; Zbl 1471.62359) Full Text: DOI arXiv OpenURL
Zhou, Rui; Ji, Min Modelling mortality dependence: an application of dynamic vine copula. (English) Zbl 1467.91155 Insur. Math. Econ. 99, 241-255 (2021). MSC: 91G05 62P05 62H05 PDF BibTeX XML Cite \textit{R. Zhou} and \textit{M. Ji}, Insur. Math. Econ. 99, 241--255 (2021; Zbl 1467.91155) Full Text: DOI OpenURL
Alanazi, Fadhah Amer A mixture of regular vines for multiple dependencies. (English) Zbl 1468.62287 J. Probab. Stat. 2021, Article ID 5559518, 15 p. (2021). MSC: 62H05 62P30 PDF BibTeX XML Cite \textit{F. A. Alanazi}, J. Probab. Stat. 2021, Article ID 5559518, 15 p. (2021; Zbl 1468.62287) Full Text: DOI OpenURL
Dhara, Anulekha; Das, Bikramjit; Natarajan, Karthik Worst-case expected shortfall with univariate and bivariate marginals. (English) Zbl 07362321 INFORMS J. Comput. 33, No. 1, 370-389 (2021). MSC: 90Cxx PDF BibTeX XML Cite \textit{A. Dhara} et al., INFORMS J. Comput. 33, No. 1, 370--389 (2021; Zbl 07362321) Full Text: DOI arXiv OpenURL
Simpson, Emma S.; Wadsworth, Jennifer L.; Tawn, Jonathan A. A geometric investigation into the tail dependence of vine copulas. (English) Zbl 1467.62079 J. Multivariate Anal. 184, Article ID 104736, 21 p. (2021). MSC: 62H05 62G32 60G70 PDF BibTeX XML Cite \textit{E. S. Simpson} et al., J. Multivariate Anal. 184, Article ID 104736, 21 p. (2021; Zbl 1467.62079) Full Text: DOI arXiv OpenURL
Melkumova, L. E.; Shatskikh, S. Ya. Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction. (English. Russian original) Zbl 1473.62163 Theory Probab. Appl. 66, No. 1, 160-168 (2021); translation from Teor. Veroyatn. Primen. 66, No. 1, 196-208 (2021). MSC: 62H05 62H10 62G08 PDF BibTeX XML Cite \textit{L. E. Melkumova} and \textit{S. Ya. Shatskikh}, Theory Probab. Appl. 66, No. 1, 160--168 (2021; Zbl 1473.62163); translation from Teor. Veroyatn. Primen. 66, No. 1, 196--208 (2021) Full Text: DOI OpenURL
Yuan, Zhenfei; Hu, Taizhong pyvine: the Python package for regular vine copula modeling, sampling and testing. (English) Zbl 1465.62044 Commun. Math. Stat. 9, No. 1, 53-86 (2021). MSC: 62E17 62H20 62H05 62-08 PDF BibTeX XML Cite \textit{Z. Yuan} and \textit{T. Hu}, Commun. Math. Stat. 9, No. 1, 53--86 (2021; Zbl 1465.62044) Full Text: DOI OpenURL
Deng, Yihao; Chaganty, N. R. Pair-copula models for analyzing family data. (English) Zbl 1460.62200 J. Stat. Theory Pract. 15, No. 1, Paper No. 13, 12 p. (2021). MSC: 62P25 62H05 PDF BibTeX XML Cite \textit{Y. Deng} and \textit{N. R. Chaganty}, J. Stat. Theory Pract. 15, No. 1, Paper No. 13, 12 p. (2021; Zbl 1460.62200) Full Text: DOI OpenURL
Ansari, Jonathan; Rüschendorf, Ludger Ordering results for elliptical distributions with applications to risk bounds. (English) Zbl 1453.60046 J. Multivariate Anal. 182, Article ID 104709, 14 p. (2021). MSC: 60E15 91B05 PDF BibTeX XML Cite \textit{J. Ansari} and \textit{L. Rüschendorf}, J. Multivariate Anal. 182, Article ID 104709, 14 p. (2021; Zbl 1453.60046) Full Text: DOI OpenURL
Goel, Anubha; Sharma, Amita Mixed value-at-risk and its numerical investigation. (English) Zbl 07527056 Physica A 541, Article ID 123524, 25 p. (2020). MSC: 82-XX PDF BibTeX XML Cite \textit{A. Goel} and \textit{A. Sharma}, Physica A 541, Article ID 123524, 25 p. (2020; Zbl 07527056) Full Text: DOI OpenURL
Smith, Michael Stanley; Loaiza-Maya, Rubén; Nott, David J. High-dimensional copula variational approximation through transformation. (English) Zbl 07500353 J. Comput. Graph. Stat. 29, No. 4, 729-743 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{M. S. Smith} et al., J. Comput. Graph. Stat. 29, No. 4, 729--743 (2020; Zbl 07500353) Full Text: DOI OpenURL
Kreuzer, Alexander; Czado, Claudia Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. (English) Zbl 07499294 J. Comput. Graph. Stat. 29, No. 3, 523-534 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Kreuzer} and \textit{C. Czado}, J. Comput. Graph. Stat. 29, No. 3, 523--534 (2020; Zbl 07499294) Full Text: DOI OpenURL
Sarazin, Gabriel; Derennes, Pierre; Morio, Jérôme Estimation of high-order moment-independent importance measures for Shapley value analysis. (English) Zbl 1481.62022 Appl. Math. Modelling 88, 396-417 (2020). MSC: 62H05 62H12 91A12 PDF BibTeX XML Cite \textit{G. Sarazin} et al., Appl. Math. Modelling 88, 396--417 (2020; Zbl 1481.62022) Full Text: DOI HAL OpenURL
Scheffer, Marcus; Weiß, Gregor N. F. Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk. (English) Zbl 1466.91317 Quant. Finance 20, No. 3, 425-446 (2020). MSC: 91G15 91G45 62P05 62H05 PDF BibTeX XML Cite \textit{M. Scheffer} and \textit{G. N. F. Weiß}, Quant. Finance 20, No. 3, 425--446 (2020; Zbl 1466.91317) Full Text: DOI OpenURL
Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro Variational inference for high dimensional structured factor copulas. (English) Zbl 07345930 Comput. Stat. Data Anal. 151, Article ID 107012, 23 p. (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Nguyen} et al., Comput. Stat. Data Anal. 151, Article ID 107012, 23 p. (2020; Zbl 07345930) Full Text: DOI Link OpenURL
Zhang, Weiping; Zhang, MengMeng; Chen, Yu A copula-based GLMM model for multivariate longitudinal data with mixed-types of responses. (English) Zbl 1469.62223 Sankhyā, Ser. B 82, No. 2, 353-379 (2020). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62G05 62J12 62H05 PDF BibTeX XML Cite \textit{W. Zhang} et al., Sankhyā, Ser. B 82, No. 2, 353--379 (2020; Zbl 1469.62223) Full Text: DOI OpenURL
Asadi, Saeed; Al Janabi, Mazin A. M. Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets. (English) Zbl 1455.91212 Eur. Actuar. J. 10, No. 2, 425-456 (2020). MSC: 91G05 91G40 91G45 PDF BibTeX XML Cite \textit{S. Asadi} and \textit{M. A. M. Al Janabi}, Eur. Actuar. J. 10, No. 2, 425--456 (2020; Zbl 1455.91212) Full Text: DOI OpenURL
Lee, Woojoo; Kim, Mijeong; Ahn, Jae Youn On structural properties of an asymmetric copula family and its statistical implication. (English) Zbl 1452.62351 Fuzzy Sets Syst. 393, 126-142 (2020). MSC: 62H05 PDF BibTeX XML Cite \textit{W. Lee} et al., Fuzzy Sets Syst. 393, 126--142 (2020; Zbl 1452.62351) Full Text: DOI OpenURL
Zhuang, Haoxin; Diao, Liqun; Yi, Grace Y. A Bayesian hierarchical copula model. (English) Zbl 1460.62078 Electron. J. Stat. 14, No. 2, 4457-4488 (2020). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62H05 62H20 62P10 65C05 68T05 PDF BibTeX XML Cite \textit{H. Zhuang} et al., Electron. J. Stat. 14, No. 2, 4457--4488 (2020; Zbl 1460.62078) Full Text: DOI Euclid OpenURL
Baghfalaki, Taban; Ganjali, Mojtaba A transition model for analyzing multivariate longitudinal data using Gaussian copula approach. (English) Zbl 1457.62151 AStA, Adv. Stat. Anal. 104, No. 2, 169-223 (2020). MSC: 62H05 62H11 62M10 62M30 62P10 PDF BibTeX XML Cite \textit{T. Baghfalaki} and \textit{M. Ganjali}, AStA, Adv. Stat. Anal. 104, No. 2, 169--223 (2020; Zbl 1457.62151) Full Text: DOI OpenURL
Cooke, Roger M.; Joe, Harry; Chang, Bo Vine copula regression for observational studies. (English) Zbl 1457.62153 AStA, Adv. Stat. Anal. 104, No. 2, 141-167 (2020). MSC: 62H05 62J02 62D20 62P25 PDF BibTeX XML Cite \textit{R. M. Cooke} et al., AStA, Adv. Stat. Anal. 104, No. 2, 141--167 (2020; Zbl 1457.62153) Full Text: DOI OpenURL
Benoumechiara, Nazih; Bousquet, Nicolas; Michel, Bertrand; Saint-Pierre, Philippe Detecting and modeling critical dependence structures between random inputs of computer models. (English) Zbl 1457.62098 Depend. Model. 8, 263-297 (2020). MSC: 62G07 62G08 62G32 62H20 62H05 62P30 PDF BibTeX XML Cite \textit{N. Benoumechiara} et al., Depend. Model. 8, 263--297 (2020; Zbl 1457.62098) Full Text: DOI arXiv OpenURL
Eling, Martin; Jung, Kwangmin Risk aggregation in non-life insurance: standard models vs. internal models. (English) Zbl 1452.91268 Insur. Math. Econ. 95, 183-198 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Eling} and \textit{K. Jung}, Insur. Math. Econ. 95, 183--198 (2020; Zbl 1452.91268) Full Text: DOI Link OpenURL
Gregory, Alastair; Jana, Kaushik Space-efficient estimation of empirical tail dependence coefficients for bivariate data streams. (English) Zbl 07260661 Stat. Anal. Data Min. 13, No. 1, 14-30 (2020). MSC: 62-XX 68-XX PDF BibTeX XML Cite \textit{A. Gregory} and \textit{K. Jana}, Stat. Anal. Data Min. 13, No. 1, 14--30 (2020; Zbl 07260661) Full Text: DOI arXiv OpenURL
Zhang, Jiaxin; Shields, Michael On the quantification and efficient propagation of imprecise probabilities with copula dependence. (English) Zbl 1445.68225 Int. J. Approx. Reasoning 122, 24-46 (2020). MSC: 68T37 62F15 62H05 PDF BibTeX XML Cite \textit{J. Zhang} and \textit{M. Shields}, Int. J. Approx. Reasoning 122, 24--46 (2020; Zbl 1445.68225) Full Text: DOI arXiv OpenURL
Zhou, Sheng-Tong; Xiao, Qian; Zhou, Jian-Min; Li, Hong-Guang Improvements of Rackwitz-Fiessler method for correlated structural reliability analysis. (English) Zbl 07205478 Int. J. Comput. Methods 17, No. 6, Article ID 1950077, 35 p. (2020). MSC: 90-XX 62-XX PDF BibTeX XML Cite \textit{S.-T. Zhou} et al., Int. J. Comput. Methods 17, No. 6, Article ID 1950077, 35 p. (2020; Zbl 07205478) Full Text: DOI OpenURL
Li, Huiqiong; Ma, Chenchen; Li, Ni; Sun, Jianguo A vine copula approach for regression analysis of bivariate current status data with informative censoring. (English) Zbl 1437.62182 J. Nonparametric Stat. 32, No. 1, 185-200 (2020). MSC: 62H05 62G08 62N01 PDF BibTeX XML Cite \textit{H. Li} et al., J. Nonparametric Stat. 32, No. 1, 185--200 (2020; Zbl 1437.62182) Full Text: DOI OpenURL
Otneim, Håkon; Jullum, Martin; Tjøstheim, Dag Pairwise local Fisher and naive Bayes: improving two standard discriminants. (English) Zbl 1456.62062 J. Econom. 216, No. 1, 284-304 (2020). MSC: 62G07 62G20 62H30 62P20 PDF BibTeX XML Cite \textit{H. Otneim} et al., J. Econom. 216, No. 1, 284--304 (2020; Zbl 1456.62062) Full Text: DOI OpenURL
Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios. (English) Zbl 1471.91495 Ann. Oper. Res. 284, No. 1, 165-197 (2020). MSC: 91G10 62P05 62H05 PDF BibTeX XML Cite \textit{C. Bruneau} et al., Ann. Oper. Res. 284, No. 1, 165--197 (2020; Zbl 1471.91495) Full Text: DOI OpenURL
Begin, Étienne; Dutilleul, Pierre; Beaulieu, Carole; Bouezmarni, Taoufik M-vine decomposition and VAR(1) models. (English) Zbl 1440.62205 Stat. Probab. Lett. 158, Article ID 108660, 6 p. (2020). MSC: 62H12 62H05 62M15 62M10 PDF BibTeX XML Cite \textit{É. Begin} et al., Stat. Probab. Lett. 158, Article ID 108660, 6 p. (2020; Zbl 1440.62205) Full Text: DOI OpenURL
Chatrabgoun, O.; Daneshkhah, A.; Esmaeilbeigi, M. Optimizing minimum information pair-copula using genetic algorithm to select optimal basis functions. (English) Zbl 07551447 Commun. Stat., Simulation Comput. 48, No. 2, 494-505 (2019). MSC: 62E17 60E05 PDF BibTeX XML Cite \textit{O. Chatrabgoun} et al., Commun. Stat., Simulation Comput. 48, No. 2, 494--505 (2019; Zbl 07551447) Full Text: DOI OpenURL
Loaiza-Maya, Rubén; Smith, Michael Stanley Variational Bayes estimation of discrete-margined copula models with application to time series. (English) Zbl 07499074 J. Comput. Graph. Stat. 28, No. 3, 523-539 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{R. Loaiza-Maya} and \textit{M. S. Smith}, J. Comput. Graph. Stat. 28, No. 3, 523--539 (2019; Zbl 07499074) Full Text: DOI OpenURL
Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing Generalized information matrix tests for copulas. (English) Zbl 07484489 Econom. Rev. 38, No. 9, 1024-1054 (2019). MSC: 62H05 62G10 62G05 62F40 62P05 PDF BibTeX XML Cite \textit{A. Prokhorov} et al., Econom. Rev. 38, No. 9, 1024--1054 (2019; Zbl 07484489) Full Text: DOI OpenURL
Schepsmeier, Ulf A goodness-of-fit test for regular vine copula models. (English) Zbl 07484450 Econom. Rev. 38, No. 1, 25-46 (2019). MSC: 62H15 62H05 62P05 PDF BibTeX XML Cite \textit{U. Schepsmeier}, Econom. Rev. 38, No. 1, 25--46 (2019; Zbl 07484450) Full Text: DOI OpenURL
Torre, Emiliano; Marelli, Stefano; Embrechts, Paul; Sudret, Bruno Data-driven polynomial chaos expansion for machine learning regression. (English) Zbl 1453.62565 J. Comput. Phys. 388, 601-623 (2019). MSC: 62J02 62H05 68T05 PDF BibTeX XML Cite \textit{E. Torre} et al., J. Comput. Phys. 388, 601--623 (2019; Zbl 1453.62565) Full Text: DOI arXiv OpenURL
Ferreiro, Javier Ojea Structural change in the link between oil and the European stock market: implications for risk management. (English) Zbl 1437.91417 Depend. Model. 7, 53-125 (2019). MSC: 91G15 91G70 62P05 62H05 62M05 PDF BibTeX XML Cite \textit{J. O. Ferreiro}, Depend. Model. 7, 53--125 (2019; Zbl 1437.91417) Full Text: DOI OpenURL
Faes, Matthias; Moens, David Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method. (English) Zbl 1440.65201 Comput. Methods Appl. Mech. Eng. 347, 85-102 (2019). MSC: 65N30 65G40 PDF BibTeX XML Cite \textit{M. Faes} and \textit{D. Moens}, Comput. Methods Appl. Mech. Eng. 347, 85--102 (2019; Zbl 1440.65201) Full Text: DOI OpenURL
Kazi-Tani, Nabil; Rullière, Didier On a construction of multivariate distributions given some multidimensional marginals. (English) Zbl 1427.60031 Adv. Appl. Probab. 51, No. 2, 487-513 (2019). MSC: 60E05 60E10 62H05 62H20 PDF BibTeX XML Cite \textit{N. Kazi-Tani} and \textit{D. Rullière}, Adv. Appl. Probab. 51, No. 2, 487--513 (2019; Zbl 1427.60031) Full Text: DOI HAL OpenURL
Crespo, Luis G.; Colbert, Brendon K.; Kenny, Sean P.; Giesy, Daniel P. On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions. (English) Zbl 1428.93036 Syst. Control Lett. 134, Article ID 104560, 10 p. (2019). MSC: 93B30 93C35 62P30 PDF BibTeX XML Cite \textit{L. G. Crespo} et al., Syst. Control Lett. 134, Article ID 104560, 10 p. (2019; Zbl 1428.93036) Full Text: DOI OpenURL
Müller, Dominik; Czado, Claudia Selection of sparse vine copulas in high dimensions with the Lasso. (English) Zbl 1430.62102 Stat. Comput. 29, No. 2, 269-287 (2019). MSC: 62H05 62J07 PDF BibTeX XML Cite \textit{D. Müller} and \textit{C. Czado}, Stat. Comput. 29, No. 2, 269--287 (2019; Zbl 1430.62102) Full Text: DOI arXiv OpenURL
Addo, E. jun.; Chanda, E. K.; Metcalfe, A. V. Spatial pair-copula model of grade for an anisotropic gold deposit. (English) Zbl 1421.86015 Math. Geosci. 51, No. 5, 553-578 (2019). MSC: 86A32 62H05 62H11 PDF BibTeX XML Cite \textit{E. Addo jun.} et al., Math. Geosci. 51, No. 5, 553--578 (2019; Zbl 1421.86015) Full Text: DOI OpenURL
Chang, Bo; Joe, Harry Prediction based on conditional distributions of vine copulas. (English) Zbl 07080185 Comput. Stat. Data Anal. 139, 45-63 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{B. Chang} and \textit{H. Joe}, Comput. Stat. Data Anal. 139, 45--63 (2019; Zbl 07080185) Full Text: DOI arXiv OpenURL
Nagler, T.; Bumann, C.; Czado, C. Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. (English) Zbl 1419.62126 J. Multivariate Anal. 172, 180-192 (2019). MSC: 62H05 62P05 91G70 PDF BibTeX XML Cite \textit{T. Nagler} et al., J. Multivariate Anal. 172, 180--192 (2019; Zbl 1419.62126) Full Text: DOI arXiv OpenURL
Näf, Jeffrey; Paolella, Marc S.; Polak, Paweł Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. (English) Zbl 1415.60021 J. Multivariate Anal. 172, 84-106 (2019). MSC: 60E07 60E10 62H12 62P05 PDF BibTeX XML Cite \textit{J. Näf} et al., J. Multivariate Anal. 172, 84--106 (2019; Zbl 1415.60021) Full Text: DOI OpenURL
Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo; Valls Pereira, Pedro L. Dynamic D-vine copula model with applications to Value-at-Risk (VaR). (English) Zbl 07064409 J. Time Ser. Econom. 11, No. 2, Article ID 20170016, 34 p. (2019). MSC: 62P20 PDF BibTeX XML Cite \textit{P. V. Tófoli} et al., J. Time Ser. Econom. 11, No. 2, Article ID 20170016, 34 p. (2019; Zbl 07064409) Full Text: DOI OpenURL
Mazo, Gildas; Averyanov, Yaroslav Constraining kernel estimators in semiparametric copula mixture models. (English) Zbl 07060678 Comput. Stat. Data Anal. 138, 170-189 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{G. Mazo} and \textit{Y. Averyanov}, Comput. Stat. Data Anal. 138, 170--189 (2019; Zbl 07060678) Full Text: DOI HAL OpenURL
Rui, Zhou Modelling mortality dependence with regime-switching copulas. (English) Zbl 1458.91187 ASTIN Bull. 49, No. 2, 373-407 (2019). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91D20 62P05 62H05 PDF BibTeX XML Cite \textit{Z. Rui}, ASTIN Bull. 49, No. 2, 373--407 (2019; Zbl 1458.91187) Full Text: DOI Link OpenURL
Ko, Vinnie; Hjort, Nils Lid Model robust inference with two-stage maximum likelihood estimation for copulas. (English) Zbl 1417.62130 J. Multivariate Anal. 171, 362-381 (2019). MSC: 62H05 62H12 62F12 62F35 PDF BibTeX XML Cite \textit{V. Ko} and \textit{N. L. Hjort}, J. Multivariate Anal. 171, 362--381 (2019; Zbl 1417.62130) Full Text: DOI OpenURL
Müller, Dominik; Czado, Claudia Dependence modelling in ultra high dimensions with vine copulas and the graphical lasso. (English) Zbl 07058816 Comput. Stat. Data Anal. 137, 211-232 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{D. Müller} and \textit{C. Czado}, Comput. Stat. Data Anal. 137, 211--232 (2019; Zbl 07058816) Full Text: DOI arXiv OpenURL
Manner, Hans; Stark, Florian; Wied, Dominik Testing for structural breaks in factor copula models. (English) Zbl 1452.62388 J. Econom. 208, No. 2, 324-345 (2019). MSC: 62H15 62H05 62H25 62M07 62M10 62P05 PDF BibTeX XML Cite \textit{H. Manner} et al., J. Econom. 208, No. 2, 324--345 (2019; Zbl 1452.62388) Full Text: DOI OpenURL
Gregory, Alastair A streaming algorithm for bivariate empirical copulas. (English) Zbl 07045225 Comput. Stat. Data Anal. 135, 56-69 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Gregory}, Comput. Stat. Data Anal. 135, 56--69 (2019; Zbl 07045225) Full Text: DOI arXiv OpenURL
Allevi, E.; Boffino, L.; De Giuli, M. E.; Oggioni, G. Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems. (English) Zbl 1434.91058 Ann. Oper. Res. 274, No. 1-2, 1-37 (2019). MSC: 91G10 91G70 62H05 PDF BibTeX XML Cite \textit{E. Allevi} et al., Ann. Oper. Res. 274, No. 1--2, 1--37 (2019; Zbl 1434.91058) Full Text: DOI OpenURL
Krupskii, Pavel; Genton, Marc G. A copula model for non-Gaussian multivariate spatial data. (English) Zbl 1418.62366 J. Multivariate Anal. 169, 264-277 (2019). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 62M30 60E05 62H05 62P12 86A32 PDF BibTeX XML Cite \textit{P. Krupskii} and \textit{M. G. Genton}, J. Multivariate Anal. 169, 264--277 (2019; Zbl 1418.62366) Full Text: DOI arXiv Link OpenURL
Goel, Anubha; Sharma, Amita; Mehra, Aparna Robust optimization of mixed CVaR STARR ratio using copulas. (English) Zbl 1407.62384 J. Comput. Appl. Math. 347, 62-83 (2019). MSC: 62P05 62M10 91G10 91G70 62H05 PDF BibTeX XML Cite \textit{A. Goel} et al., J. Comput. Appl. Math. 347, 62--83 (2019; Zbl 1407.62384) Full Text: DOI OpenURL
Vatter, Thibault; Nagler, Thomas Generalized additive models for pair-copula constructions. (English) Zbl 07498985 J. Comput. Graph. Stat. 27, No. 4, 715-727 (2018). MSC: 62-XX PDF BibTeX XML Cite \textit{T. Vatter} and \textit{T. Nagler}, J. Comput. Graph. Stat. 27, No. 4, 715--727 (2018; Zbl 07498985) Full Text: DOI OpenURL
Müller, Dominik; Czado, Claudia Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian dependence. (English) Zbl 07498951 J. Comput. Graph. Stat. 27, No. 2, 334-344 (2018). MSC: 62-XX PDF BibTeX XML Cite \textit{D. Müller} and \textit{C. Czado}, J. Comput. Graph. Stat. 27, No. 2, 334--344 (2018; Zbl 07498951) Full Text: DOI OpenURL
Brechmann, E. C.; Heiden, M.; Okhrin, Y. A multivariate volatility vine copula model. (English) Zbl 07481025 Econom. Rev. 37, No. 4, 281-308 (2018). MSC: 62M10 62H05 62H20 62P05 62P20 PDF BibTeX XML Cite \textit{E. C. Brechmann} et al., Econom. Rev. 37, No. 4, 281--308 (2018; Zbl 07481025) Full Text: DOI OpenURL
Pérez-Ruiz, Luis Carlos; Escarela, Gabriel Joint regression modeling for missing categorical covariates in generalized linear models. (English) Zbl 07479830 J. Appl. Stat. 45, No. 15, 2741-2759 (2018). MSC: 62Pxx PDF BibTeX XML Cite \textit{L. C. Pérez-Ruiz} and \textit{G. Escarela}, J. Appl. Stat. 45, No. 15, 2741--2759 (2018; Zbl 07479830) Full Text: DOI OpenURL
Peng, Chen; Xu, Maochao; Xu, Shouhuai; Hu, Taizhong Modeling multivariate cybersecurity risks. (English) Zbl 07479829 J. Appl. Stat. 45, No. 15, 2718-2740 (2018). MSC: 62Pxx PDF BibTeX XML Cite \textit{C. Peng} et al., J. Appl. Stat. 45, No. 15, 2718--2740 (2018; Zbl 07479829) Full Text: DOI OpenURL
Li, Dingfang; Gui, Yifan; Li, Yifan; Xiong, Lihua A method for constructing asymmetric pair-copula and its application. (English) Zbl 07405687 Commun. Stat., Theory Methods 47, No. 17, 4202-4214 (2018). MSC: 62-XX 62H05 PDF BibTeX XML Cite \textit{D. Li} et al., Commun. Stat., Theory Methods 47, No. 17, 4202--4214 (2018; Zbl 07405687) Full Text: DOI OpenURL
Yoshiba, Toshinao Maximum likelihood estimation of skew-\(t\) copulas with its applications to stock returns. (English) Zbl 07192670 J. Stat. Comput. Simulation 88, No. 13, 2489-2506 (2018). MSC: 62E17 62H10 62H20 65C60 PDF BibTeX XML Cite \textit{T. Yoshiba}, J. Stat. Comput. Simulation 88, No. 13, 2489--2506 (2018; Zbl 07192670) Full Text: DOI OpenURL
Wang, Fan; Li, Heng Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection. (English) Zbl 1480.62211 Appl. Math. Modelling 59, 483-499 (2018). MSC: 62N05 62H05 90B25 PDF BibTeX XML Cite \textit{F. Wang} and \textit{H. Li}, Appl. Math. Modelling 59, 483--499 (2018; Zbl 1480.62211) Full Text: DOI OpenURL
Ansari, Jonathan; Rüschendorf, Ludger Ordering risk bounds in factor models. (English) Zbl 1434.62076 Depend. Model. 6, 259-287 (2018). MSC: 62H05 62P20 91G70 PDF BibTeX XML Cite \textit{J. Ansari} and \textit{L. Rüschendorf}, Depend. Model. 6, 259--287 (2018; Zbl 1434.62076) Full Text: DOI OpenURL
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher Statistical arbitrage with vine copulas. (English) Zbl 1407.62178 Quant. Finance 18, No. 11, 1831-1849 (2018). MSC: 62H05 62P05 PDF BibTeX XML Cite \textit{J. Stübinger} et al., Quant. Finance 18, No. 11, 1831--1849 (2018; Zbl 1407.62178) Full Text: DOI Link OpenURL
Wilson, Kevin James Specification of informative prior distributions for multinomial models using vine copulas. (English) Zbl 1407.62180 Bayesian Anal. 13, No. 3, 749-766 (2018). MSC: 62H05 62P30 PDF BibTeX XML Cite \textit{K. J. Wilson}, Bayesian Anal. 13, No. 3, 749--766 (2018; Zbl 1407.62180) Full Text: DOI Euclid OpenURL
Sharma, Kshitij; Chavez-Demoulin, Valérie; Dillenbourg, Pierre Nonstationary modelling of tail dependence of two subjects’ concentration. (English) Zbl 1405.62244 Ann. Appl. Stat. 12, No. 2, 1293-1311 (2018). MSC: 62P25 62H05 62G32 PDF BibTeX XML Cite \textit{K. Sharma} et al., Ann. Appl. Stat. 12, No. 2, 1293--1311 (2018; Zbl 1405.62244) Full Text: DOI Euclid OpenURL
Bensaïda, Ahmed; Boubaker, Sabri; Nguyen, Duc Khuong The shifting dependence dynamics between the G7 stock markets. (English) Zbl 1400.91528 Quant. Finance 18, No. 5, 801-812 (2018). MSC: 91G10 62P05 62H05 PDF BibTeX XML Cite \textit{A. Bensaïda} et al., Quant. Finance 18, No. 5, 801--812 (2018; Zbl 1400.91528) Full Text: DOI OpenURL
Krupskii, Pavel; Huser, Raphaël; Genton, Marc G. Factor copula models for replicated spatial data. (English) Zbl 1398.62256 J. Am. Stat. Assoc. 113, No. 521, 467-479 (2018). MSC: 62M30 62G32 62H05 62H25 PDF BibTeX XML Cite \textit{P. Krupskii} et al., J. Am. Stat. Assoc. 113, No. 521, 467--479 (2018; Zbl 1398.62256) Full Text: DOI arXiv Link OpenURL
Shi, Peng; Yang, Lu Pair copula constructions for insurance experience rating. (English) Zbl 1398.62323 J. Am. Stat. Assoc. 113, No. 521, 122-133 (2018). MSC: 62P05 91B30 62H05 62H20 PDF BibTeX XML Cite \textit{P. Shi} and \textit{L. Yang}, J. Am. Stat. Assoc. 113, No. 521, 122--133 (2018; Zbl 1398.62323) Full Text: DOI OpenURL
Eling, Martin; Jung, Kwangmin Copula approaches for modeling cross-sectional dependence of data breach losses. (English) Zbl 1416.91173 Insur. Math. Econ. 82, 167-180 (2018). MSC: 91B30 62P05 62H05 PDF BibTeX XML Cite \textit{M. Eling} and \textit{K. Jung}, Insur. Math. Econ. 82, 167--180 (2018; Zbl 1416.91173) Full Text: DOI OpenURL
Levi, Evgeny; Craiu, Radu V. Bayesian inference for conditional copulas using Gaussian process single index models. (English) Zbl 1469.62099 Comput. Stat. Data Anal. 122, 115-134 (2018). MSC: 62-08 62F15 62H05 PDF BibTeX XML Cite \textit{E. Levi} and \textit{R. V. Craiu}, Comput. Stat. Data Anal. 122, 115--134 (2018; Zbl 1469.62099) Full Text: DOI OpenURL
Barthel, Nicole; Geerdens, Candida; Killiches, Matthias; Janssen, Paul; Czado, Claudia Vine copula based likelihood estimation of dependence patterns in multivariate event time data. (English) Zbl 1469.62017 Comput. Stat. Data Anal. 117, 109-127 (2018). MSC: 62-08 62H05 62N02 62P10 PDF BibTeX XML Cite \textit{N. Barthel} et al., Comput. Stat. Data Anal. 117, 109--127 (2018; Zbl 1469.62017) Full Text: DOI arXiv OpenURL
Portier, François; Segers, Johan On the weak convergence of the empirical conditional copula under a simplifying assumption. (English) Zbl 1401.62082 J. Multivariate Anal. 166, 160-181 (2018). Reviewer: Martin Wendler (Greifswald) MSC: 62H05 62G05 62G20 62G30 PDF BibTeX XML Cite \textit{F. Portier} and \textit{J. Segers}, J. Multivariate Anal. 166, 160--181 (2018; Zbl 1401.62082) Full Text: DOI arXiv OpenURL
Bassetti, Federico; de Giuli, Maria Elena; Nicolino, Enrica; Tarantola, Claudia Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts. (English) Zbl 1431.62585 Eur. J. Oper. Res. 269, No. 3, 1107-1121 (2018). MSC: 62P20 62H05 62F15 91B74 PDF BibTeX XML Cite \textit{F. Bassetti} et al., Eur. J. Oper. Res. 269, No. 3, 1107--1121 (2018; Zbl 1431.62585) Full Text: DOI OpenURL
Lee, David; Joe, Harry Multivariate extreme value copulas with factor and tree dependence structures. (English) Zbl 1453.62494 Extremes 21, No. 1, 147-176 (2018). MSC: 62H05 62G32 62H10 62H12 62P12 PDF BibTeX XML Cite \textit{D. Lee} and \textit{H. Joe}, Extremes 21, No. 1, 147--176 (2018; Zbl 1453.62494) Full Text: DOI OpenURL
Fermanian, Jean-David; Lopez, Olivier Single-index copulas. (English) Zbl 1397.62179 J. Multivariate Anal. 165, 27-55 (2018). MSC: 62H05 62F12 62G05 62H20 PDF BibTeX XML Cite \textit{J.-D. Fermanian} and \textit{O. Lopez}, J. Multivariate Anal. 165, 27--55 (2018; Zbl 1397.62179) Full Text: DOI arXiv Link OpenURL
Zhang, Mimi; Bedford, Tim Vine copula approximation: a generic method for coping with conditional dependence. (English) Zbl 1384.62171 Stat. Comput. 28, No. 1, 219-237 (2018). MSC: 62H05 62H30 PDF BibTeX XML Cite \textit{M. Zhang} and \textit{T. Bedford}, Stat. Comput. 28, No. 1, 219--237 (2018; Zbl 1384.62171) Full Text: DOI OpenURL
Schellhase, Christian; Spanhel, Fabian Estimating non-simplified vine copulas using penalized splines. (English) Zbl 1384.62170 Stat. Comput. 28, No. 2, 387-409 (2018). MSC: 62H05 62G07 PDF BibTeX XML Cite \textit{C. Schellhase} and \textit{F. Spanhel}, Stat. Comput. 28, No. 2, 387--409 (2018; Zbl 1384.62170) Full Text: DOI arXiv OpenURL
Killiches, Matthias; Kraus, Daniel; Czado, Claudia Model distances for vine copulas in high dimensions. (English) Zbl 1384.62168 Stat. Comput. 28, No. 2, 323-341 (2018). MSC: 62H05 PDF BibTeX XML Cite \textit{M. Killiches} et al., Stat. Comput. 28, No. 2, 323--341 (2018; Zbl 1384.62168) Full Text: DOI arXiv OpenURL
Wei, Zheng; Kim, Daeyoung On multivariate asymmetric dependence using multivariate skew-normal copula-based regression. (English) Zbl 1429.62179 Int. J. Approx. Reasoning 92, 376-391 (2018). MSC: 62H05 62P05 PDF BibTeX XML Cite \textit{Z. Wei} and \textit{D. Kim}, Int. J. Approx. Reasoning 92, 376--391 (2018; Zbl 1429.62179) Full Text: DOI OpenURL