activity
20152017
most citedUsing model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas

6 citations · 13 across the 5 of their papers we have counts for

collaborators

6 papers

stat.ME2017

A D-vine copula based model for repeated measurements extending linear mixed models with homogeneous correlation structure

Matthias Killiches, Claudia Czado

We propose a model for unbalanced longitudinal data, where the univariate margins can be selected arbitrarily and the dependence structure is described with the help of a D-vine co…

stat.ME2016★ 6 cited

Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas

Matthias Killiches, Daniel Kraus, Claudia Czado

Vine copulas are a useful statistical tool to describe the dependence structure between several random variables, especially when the number of variables is very large. When modeli…

stat.AP2016

Vine copula based likelihood estimation of dependence patterns in multivariate event time data

Nicole Barthel, Candida Geerdens, Matthias Killiches +2

In many studies multivariate event time data are generated from clusters having a possibly complex association pattern. Flexible models are needed to capture this dependence. Vine…

stat.AP2016

Examination and visualisation of the simplifying assumption for vine copulas in three dimensions

Matthias Killiches, Daniel Kraus, Claudia Czado

Vine copulas are a highly flexible class of dependence models, which are based on the decomposition of the density into bivariate building blocks. For applications one usually make…

stat.ME2015★ 3 cited

Model distances for vine copulas in high dimensions

Matthias Killiches, Daniel Kraus, Claudia Czado

Vine copulas are a flexible class of dependence models consisting of bivariate building blocks and have proven to be particularly useful in high dimensions. Classical model distanc…

stat.ME2015★ 4 cited

Block-Maxima of Vines

Matthias Killiches, Claudia Czado

We examine the dependence structure of finite block-maxima of multivariate distributions. We provide a closed form expression for the copula density of the vector of the block-maxi…