Marius Hofert
- Sibuya copulas
2010/08/13 by Marius Hofert, Hofert, Marius, Frédéric Vrins +1 · 3 citations
Economics, Econometrics and Finance · Social Sciences · #60E05 #60G99 #62H05 #62H20 #62H99 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
- Quasi-random numbers for copula models
2015/08/14 by Mathieu Cambou, Cambou, Mathieu, Marius Hofert +3 · 2 citations
Decision Sciences · Mathematics · #62H99 #65C60 #Computation (stat.CO) #FOS: Computer and information sciences #Mathematical Approximation and Integration #Probabilistic and Robust Engineering Design #Probability and Risk Models
- Quasi-random sampling for multivariate distributions via generative neural networks
2018/11/01 by Marius Hofert, Avinash Prasad, Hofert, Marius +3 · 2 citations
Computer Science · Decision Sciences · Mathematics · #00A72 #60E05 #62H99 #65C10 #65C60 #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Mathematical Approximation and Integration #Probabilistic and Robust Engineering Design
- Hierarchical Archimax copulas
2017/07/03 by Marius Hofert, Raphaël Huser, Hofert, Marius +3 · 1 citation
Economics, Econometrics and Finance · #60E05 #62E15 #62H99 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications
- Multivariate time-series modeling with generative neural networks
2020/02/25 by Marius Hofert, Hofert, Marius, Avinash Prasad +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #00A72 #60E05 #62H99 #62M10 #65C10 #65C60 #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Methodology (stat.ME) #Stock Market Forecasting Methods
- Measuring non-exchangeable tail dependence using tail copulas
2021/01/28 by Takaaki Koike, Koike, Takaaki, Shogo Kato +3 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #62G32 #62H20 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Risk Management (q-fin.RM) #Statistics Theory (math.ST)
- Dependence model assessment and selection with DecoupleNets
2022/02/07 by Marius Hofert, Avinash Prasad, Hofert, Marius +3 · 1 citation
Chemistry · Computer Science · #00A72 #60E05 #62H99 #62M10 #62M45 #65C10 #65C60 #Applications (stat.AP) #Computation (stat.CO) #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Image and Signal Denoising Methods #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Neural Networks and Applications #Risk Management (q-fin.RM) #Spectroscopy and Chemometric Analyses
- Index-mixed copulas
2023/06/19 by Klaus Herrmann, Marius Hofert, Herrmann, Klaus +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · Decision Sciences · #stat.ME #math.PR #stat.OT
- Morillas-type transformations of copulas and stable tail dependence functions
2026/07/21 by Klaus Herrmann, Marius Hofert, Mélina Mailhot +1
#stat.ME #math.PR
- Adaptive Generative Moment Matching Networks for Improved Learning of Dependence Structures
2026/07/29 by Marius Hofert, Gan Yao