151 citations · 321 across the 18 of their papers we have counts for
5 papers · 1 filter
Vine copula based post-processing of ensemble forecasts for temperature
Annette Möller, Ludovica Spazzini, Daniel Kraus +2
Today weather forecasting is conducted using numerical weather prediction (NWP) models, consisting of a set of differential equations describing the dynamics of the atmosphere. The…
R friendly multi-threading in C++
Thomas Nagler
Calling multi-threaded C++ code from R has its perils. Since the R interpreter is single-threaded, one must not check for user interruptions or print to the R console from multiple…
A Statistical Simulation Method for Joint Time Series of Non-stationary Hourly Wave Parameters
Wiebke S. Jäger, Thomas Nagler, Claudia Czado +1
Statistically simulated time series of wave parameters are required for many coastal and offshore engineering applications, often at the resolution of approximately one hour. Vario…
Solving estimating equations with copulas
Thomas Nagler, Thibault Vatter
Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. Mor…
Model selection in sparse high-dimensional vine copula models with application to portfolio risk
Thomas Nagler, Christian Bumann, Claudia Czado
Vine copulas allow to build flexible dependence models for an arbitrary number of variables using only bivariate building blocks. The number of parameters in a vine copula model in…