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08/26/2022
High-dimensional sparse vine copula regression with application to genomic prediction
High-dimensional data sets are often available in genome-enabled predict...
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08/17/2022
On the Observability of Gaussian Models using Discrete Density Approximations
This paper proposes a novel method for testing observability in Gaussian...
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06/20/2022
Statistical Dependence Analyses of Operational Flight Data Used for Landing Reconstruction Enhancement
The RTS smoother is widely used for state estimation and it is utilized ...
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05/09/2022
An Application of D-vine Regression for the Identification of Risky Flights in Runway Overrun
In aviation safety, runway overruns are of great importance because they...
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05/05/2022
Bivariate vine copula based quantile regression
The statistical analysis of univariate quantiles is a well developed res...
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11/19/2021
Analysis of an interventional protein experiment using a vine copula based structural equation model
While there is considerable effort to identify signaling pathways using ...
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04/14/2021
Dependent censoring based on copulas
Consider a survival time T that is subject to random right censoring, an...
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02/09/2021
Nonparametric C- and D-vine based quantile regression
Quantile regression is a field with steadily growing importance in stati...
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02/05/2021
Vine copula mixture models and clustering for non-Gaussian data
The majority of finite mixture models suffer from not allowing asymmetri...
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11/02/2019
Bayesian inference for dynamic vine copulas in higher dimensions
We propose a class of dynamic vine copula models. This is an extension o...
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11/01/2019
Bayesian Multivariate Nonlinear State Space Copula Models
In this paper we propose a flexible class of multivariate nonlinear non-...
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03/20/2019
A Bayesian Non-linear State Space Copula Model to Predict Air Pollution in Beijing
Air pollution is a serious issue that currently affects many industrial ...
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02/27/2019
Efficient Bayesian inference for univariate and multivariate non linear state space models with univariate autoregressive state equation
Latent autoregressive processes are a popular choice to model time varyi...
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11/06/2018
Vine copula based post-processing of ensemble forecasts for temperature
Today weather forecasting is conducted using numerical weather predictio...
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10/29/2018
A Statistical Simulation Method for Joint Time Series of Non-stationary Hourly Wave Parameters
Statistically simulated time series of wave parameters are required for ...
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08/26/2018
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
Single factor models are used in finance to model the joint behaviour of...
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02/26/2018
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
A novel approach for dynamic modeling and forecasting of realized covari...
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01/29/2018
Model selection in sparse high-dimensional vine copula models with application to portfolio risk
Vine copulas allow to build flexible dependence models for an arbitrary ...
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12/15/2017
Modeling recurrent event times subject to right-censoring with D-vine copulas
In several time-to-event studies, the event of interest occurs more than...
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09/15/2017