Related papers: Climate-Aware Copula Models for Sovereign Rating M…
Joint Species Distribution Models are essential for understanding how ecological drivers shape species communities. However, most existing approaches are limited by rigid parametric distributions for count data and the inability to model…
The study of dependence between random variables is the core of theoretical and applied statistics. Static and dynamic copula models are useful for describing the dependence structure, which is fully encrypted in the copula probability…
Predicting the time series of future evolutions of renewable injections and demands is of utmost importance for the operation of power systems. However, the current state of the art is mostly focused on mean-value time series predictions…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
In this paper, we study the identifiability and the estimation of the parameters of a copula-based multivariate model when the margins are unknown and are arbitrary, meaning that they can be continuous, discrete, or mixtures of continuous…
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered:…
In this paper we estimate the conditional value-at-risk by fitting different multivariate parametric models capturing some stylized facts about multivariate financial time series of equity returns: heavy tails, negative skew, asymmetric…
Comparing multivariate yield quality distributions across spatially referenced agricultural fields is complicated by two pervasive features: non-normality and spatial autocorrelation. Classical procedures such as ANOVA, MANOVA, and standard…
Many time series applications require access to multi-step forecast trajectories in the form of sample paths. Recently, time series foundation models have leveraged multi-step lookahead predictions to improve the quality and efficiency of…
Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, accurately estimating the linking copulas within these models…
We propose a copula-based extension of the hidden Markov model (HMM) which applies when the observations recorded at each time in the sample are multivariate. The joint model produced by the copula extension allows decoding of the hidden…
A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of…
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the…
We introduce a class of copulas that we call Principal Component Copulas (PCCs). This class combines the strong points of copula-based techniques with principal component analysis (PCA), which results in flexibility when modelling tail…
Copulas provide a modular parameterization of multivariate distributions that decouples the modeling of marginals from the dependencies between them. Gaussian Mixture Copula Model (GMCM) is a highly flexible copula that can model many kinds…
Many environmental processes exhibit weakening spatial dependence as events become more extreme. Well-known limiting models, such as max-stable or generalized Pareto processes, cannot capture this, which can lead to a preference for models…
So far, one-factor copulas induce conditional independence with respect to a latent factor. In this paper, we extend one-factor copulas to conditionally dependent models. This is achieved through new representations which allow to build new…
Recordings of complex neural population responses provide a unique opportunity for advancing our understanding of neural information processing at multiple scales and improving performance of brain computer interfaces. However, most…
The first part of this paper introduces a portfolio approach for quantifying the risk measures of pollution risk in the presence of dependence of PM$_{2.5}$ concentration of cities. The model is based on a copula dependence structure. For…
In this paper, we derive copula-based and empirical dependency models (DMs) for simulating non-independent variables, and then propose a new way for determining the distribution of the model outputs conditional on every subset of inputs.…