Browsing by Subject "Copula"
Now showing items 1-4 of 4
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Bayesian Learning with Dependency Structures via Latent Factors, Mixtures, and Copulas
(2016)Bayesian methods offer a flexible and convenient probabilistic learning framework to extract interpretable knowledge from complex and structured data. Such methods can characterize dependencies among multiple levels of hidden ... -
Copulas for High Dimensions: Models, Estimation, Inference, and Applications
(2014)The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data ... -
Dynamic Risk Frameworks for Commodity Portfolio Optimization
(2013-04-17)Commodities are an important yet poorly understood asset class, but outsized losses and gains in commodities in recent years have garnered public attention. Partly in reaction to financial market crashes, the suite of risk ... -
Statistical Analysis of Response Distribution for Dependent Data via Joint Quantile Regression
(2021)Linear quantile regression is a powerful tool to investigate how predictors may affect a response heterogeneously across different quantile levels. Unfortunately, existing approaches find it extremely difficult to adjust ...
