17 citations · 40 across the 13 of their papers we have counts for
12 papers · 1 filter
Dependent censoring based on copulas
Claudia Czado, Ingrid Van Keilegom
Consider a survival time T that is subject to random right censoring, and suppose that T is stochastically dependent on the censoring time C. We are interested in the marginal dist…
Vine copula mixture models and clustering for non-Gaussian data
Özge Sahin, Claudia Czado
The majority of finite mixture models suffer from not allowing asymmetric tail dependencies within components and not capturing non-elliptical clusters in clustering applications.…
Bayesian inference for dynamic vine copulas in higher dimensions
Alexander Kreuzer, Claudia Czado
We propose a class of dynamic vine copula models. This is an extension of static vine copulas and a generalization of dynamic C-vine and D-vine copulas studied by Almeida et al (20…
Bayesian Multivariate Nonlinear State Space Copula Models
Alexander Kreuzer, Luciana Dalla Valle, Claudia Czado
In this paper we propose a flexible class of multivariate nonlinear non-Gaussian state space models, based on copulas. More precisely, we assume that the observation equation and t…
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Nicole Barthel, Claudia Czado, Yarema Okhrin
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The o…
Heavy tailed spatial autocorrelation models
A. Kreuzer, T. Erhardt, T. Nagler +1
Appropriate models for spatially autocorrelated data account for the fact that observations are not independent. A popular model in this context is the simultaneous autoregressive…