3 papers
physics.comp-ph2025
Copula methods for modeling pair densities in density functional theory
Geneviève Dusson, Claudia Klüppelberg, Gero Friesecke
We propose a new approach towards approximating the density-to-pair-density map based on copula theory from statistics. We extend the copula theory to multi-dimensional marginals,…
math.ST2019
Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates
Richard A. Davis, Thiago do Rêgo Sousa, Claudia Klüppelberg
We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function,…
math.ST2014
Asymmetric COGARCH processes
Anita Behme, Claudia Klüppelberg, Kathrin Mayr
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data.…