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"Nearest-Neighbor Mixture Models for Non-Gaussian Spatial Processes" by Xiaotian Zheng, Athanasios Kottas et al. - Vimarsana News

"Nearest-Neighbor Mixture Models for Non-Gaussian Spatial Processes" by Xiaotian Zheng, Athanasios Kottas et al.

We develop a class of nearest-neighbor mixture models that provide direct, computationally efficient, probabilistic modeling for non-Gaussian geospatial data. The class is defined over a directed acyclic graph, which implies conditional independence in representing a multivariate distribution through factorization into a product of univariate conditionals, and is extended to a full spatial process. We model each conditional as a mixture of spatially varying transition kernels, with locally adaptive weights, for each one of a given number of nearest neighbors. The modeling framework emphasizes ...

Source: uow.edu.au
Time-varying tail dependence networks of financial institutions - Vimarsana News

Time-varying tail dependence networks of financial institutions

In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.

Source: risk.net