Gumbel, Clayton, Frank, and Independence copula that use on Weibull distribution.
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Updated
Mar 16, 2024 - R
Gumbel, Clayton, Frank, and Independence copula that use on Weibull distribution.
Multivariate data modelling with Copulas in Python
Simulation of Partition-of-Unity copulas in R, e.g. for the purpose of modeling risk or for the creation of synthetic data based on restricted datasets
The Quant Copula Playground is a Shiny application designed for everyone interested in exploring the dependencies between stock returns using various copula models. This application is inspired by seminal works in the field of copulas, particularly "An Introduction to Copulas" by Roger B. Nelsen.
Python package for canonical vine copula trees with mixed continuous and discrete marginals
Copula fitting in Python.
Portfolio credit risk modeling
Examples of scheduled jobs estimating copulas at www.microprediction.org
Robust Estimation of Copulas by Maximum Mean Discrepancy
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
In this project, we predict the probability of occurrence of risk in the Indian territory, based on the historical data of precipitation and temperature between the years 1951 - 2015
Inference for Gaussian copula factor models and its application to causal discovery.
Multivariate Environmental Statistics (BEE6300) R Code
Causal discovery from mixed data with missing values.
Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
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