Related papers: Vine copula mixture models and clustering for non-…
We propose a class of dynamic vine copula models. This is an extension of static vine copulas and a generalization of dynamic C-vine and D-vine copulas studied by Almeida et al (2016) and Goel and Mehra (2019). Within this class, we allow…
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student's t copula. This paper presents two contributions related to model selection of regular vine copulas.…
The original development of Shapley values for prediction explanation relied on the assumption that the features being described were independent. If the features in reality are dependent this may lead to incorrect explanations. Hence,…
Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme. Additionally, modelling both non-extreme and extreme…
Vine copulas are pair-copula constructions enabling multivariate dependence modeling in terms of bivariate building blocks. One of the main tasks of fitting a vine copula is the selection of a suitable tree structure. For this the prevalent…
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest…
In situations where both extreme and non-extreme data are of interest, modelling the whole data set accurately is important. In a univariate framework, modelling the bulk and tail of a distribution has been extensively studied before.…
Copula models have become one of the most widely used tools in the applied modelling of multivariate data. Similarly, Bayesian methods are increasingly used to obtain efficient likelihood-based inference. However, to date, there has been…
Vine copulas, constructed using bivariate copulas as building blocks, provide a flexible framework for modeling multi-dimensional dependencies. However, this flexibility is accompanied by rapidly increasing complexity as dimensionality…
Mixture model-based frameworks are very popular for statistical inference in clustering. While convenient for producing probabilistic estimates of cluster assignments and uncertainty, they are prone to misspecification, which can lead to…
Many common clustering methods cannot be used for clustering multivariate longitudinal data in cases where variables exhibit high autocorrelations. In this article, a copula kernel mixture model (CKMM) is proposed for clustering data of…
Systems subject to uncertain inputs produce uncertain responses. Uncertainty quantification (UQ) deals with the estimation of statistics of the system response, given a computational model of the system and a probabilistic model of its…
With the advancements of computer architectures, the use of computational models proliferates to solve complex problems in many scientific applications such as nuclear physics and climate research. However, the potential of such models is…
Modern datasets commonly feature both substantial missingness and many variables of mixed data types, which present significant challenges for estimation and inference. Complete case analysis, which proceeds using only the observations with…
We propose a model for unbalanced longitudinal data, where the univariate margins can be selected arbitrarily and the dependence structure is described with the help of a D-vine copula. We show that our approach is an extremely flexible…
Model-based clustering techniques have been widely applied to various application areas, while most studies focus on canonical mixtures with unique component distribution form. However, this strict assumption is often hard to satisfy. In…
Vine copulas offer flexible multivariate dependence modeling and have become widely used in machine learning. Yet, structure learning remains a key challenge. Early heuristics, such as Dissmann's greedy algorithm, are still considered the…
Vine copulas are flexible dependence models using bivariate copulas as building blocks. If the parameters of the bivariate copulas in the vine copula depend on covariates, one obtains a conditional vine copula. We propose an extension for…
This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…
Modeling high-dimensional dependencies while keeping likelihoods tractable remains challenging. Classical vine-copula pipelines are interpretable but can be expensive, while many neural estimators are flexible but less structured. In this…