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Vine Constructions of Levy Copulas
Levy Copula Vine Copula Pair Lévy Copula Construction Multivariate Lévy Processes
2012/9/19
Levy copulas are the most natural concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A ...
Vine copulas as a mean for the construction of high dimensional probability distribution associated to a Markov Network
Copula decomposition t-cherry junction tree Markov network Cherry-wine probability distribution Graphical models
2011/6/17
Building higher-dimensional copulas is generally recognized as a difficult
problem. Regular-vines using bivariate copulas provide a flexible class of high-dimensional
dependency models. In large dim...