Questions tagged [vine-copula]
17 questions
4
votes
1 answer
Introductory reading on vine copulas
I am looking for a gentle introduction into vine copulas and R-vines in particular.
(There is a related thread for copulas in general, but the answers there do not seem to contain an introduction into vine copulas.)
Richard Hardy
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2
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How many pairwise copulas in a $k$-dimensional R-vine?
I am studying R-vine copulas. Let $k$ denote the number of random variables the joint distribution of which we are modeling. R-vine breaks down the $k$-variate copula into $K$ bivariate copulas. I am trying to understand how $K$ is related to…
Richard Hardy
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2
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1 answer
Why copula based on CDF instead of PDF
I do understand the mathematic behind probability density function( PDF) and cumulative distribution function (CDF). My problem starts when I try to understand why copula relies on CDF and not on PDF. I searched and found this:
the probability…
Maryam
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2
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Why does deviation from uniform distribution suggest skewed-t model may not provide adequate fits for copula model
I read a book titled "Statistics and Data Analysis for Financial Engineering with R examples". At page 203, I read the following paragraph.
"Figure 8.7 shows density histograms of both samples of uniform transformed
flows as well as their…
Maryam
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2
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0 answers
detrend time series data for non-regression proposal
Suppose I have a time-series data (temperature and ice-cream sales). I would like to fit a copula model to this data (just to understand the dependency between these two variables. I do not want to fit a regression copula model). My question is, do…
Maryam
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2
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1 answer
Questions about the surface and counter plot of copula functions
I applied a copula model to my data. Then I plot the surface plot for each selected copula function. As I understand, each colour in the plot indicates the strength of the dependency. For example, red (strong dependency), yellow (moderate…
Maryam
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2
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How can I calculate Conditional expectation using copula
Let X, Y two time series and $F_{i, \beta_i}$ the marginal distribution of residual of each time series and beta is vector of their parameter. I studied the dependence between this two series using copula it's a long study but if you want I can put…
NAAMA
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1 answer
What does knowing two pairwise copulas tell us about the third
Say we have three random variables, which are all standard uniforms:
$$
X \sim U(0,1), \\
Y \sim U(0,1), ~\text{and}~~~ Z ~ U(0,1)
$$
If we know two of the pairwise copulas, $C_{XY}$ and $C_{YZ}$, what can be said about the third $C_{XZ}$ ?
I…
A. Gray
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vote
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How to prove that a function is 2-increasing (copula)
There are three conditions to prove that a function is a copula:
$C(u,0)=0=C(0,v)$ grounded.
$C(u,1)= u, C(1,v)= v$.
$C(u,v)$ 2-increasing function.
Here I am concerning in the last condition how to prove that a function is 2-increasing
as example…
محمد عبد
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vote
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How can I generate random number $x$ and $y$ from a copula function by using lambert function
I studied a research paper they are using the lambert function to generate random number x and y from a Farlie-Gumbel-Morgenstern (FGM) copula function in the simulation study, I tried to understand how the author used the Lambert function so I can…
محمد عبد
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1
vote
0 answers
how to fit trivariate copula for dataset
what is the most effective method to fit and code for trivariate copula in the event that I have 12 data sets in my data frame?
Rahul Thalagapu
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votes
0 answers
Copula for 3 variables
I want to make Copula analysis for 3 variables to understand the dependency. I applied following code to obtain $c_{1,2}$ and $c_{1,3}$
library(VineCopula)
u <- pobs(as.matrix(cbind(var1,var2)))[,1]
v <-…
iloloa
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difference between pointwise and simultaneous confidence bands in Copula Regression Spline Model?
What is the difference between pointwise and simultaneous confidence bands in Copula Regression Spline Model?
How to interpret them?
Rafsyaa
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Simplifying assumption for regular vine distributions
I am trying to understand vine copulas and specifically, conditional bivariate copulas. Let $c_{X_1,X_3|X_2}(\cdot,\cdot | \cdot)=:c$ be the probability density function of a bivariate conditional copula. I think I understand…
Richard Hardy
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Vine Copula: Understanding Conditional Pairs
The regular vine copula below
$
f\left(x1,x2,x3\right) = f_{3}\left(x_{3}\right)f_{2}\left(x_{2}\right)f_{1}\left(x_{1}\right)
\times…
John
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