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Claudia Czado

Researcher at Technische Universität München

Publications -  232
Citations -  9380

Claudia Czado is an academic researcher from Technische Universität München. The author has contributed to research in topics: Vine copula & Copula (linguistics). The author has an hindex of 42, co-authored 220 publications receiving 7903 citations. Previous affiliations of Claudia Czado include Ludwig Maximilian University of Munich & Katholieke Universiteit Leuven.

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Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors

TL;DR: In this article, approximate Bayes factors are calculated using the Laplace approximations given in [32], together with a reference set of prior distributions to assess the improvement in fit over a generalized linear model with canonical link when a parametric link family is used.
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An Exponential Continuous-Time GARCH Process

TL;DR: An instantaneous leverage effect can be shown for the exponential continuous-time GARCH(p, p) model and stationarity, mixing, and moment properties of the new model are investigated.
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Modeling dependent yearly claim totals including zero claims in private health insurance

TL;DR: A pair-copula construction will be used for the fit of the continuous copula allowing to choose appropriate copulas for each pair of margins, and how to express the joint pf by copulas with discrete and continuous margins is illustrated.
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A nonparametric test for similarity of marginals—With applications to the assessment of population bioequivalence

TL;DR: Czado et al. as mentioned in this paper proposed a nonparametric test for the assessment of similar marginals of a multivariate distribution function based on the asymptotic normality of Mallows distance between marginals.
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Nonparametric estimation of simplified vine copula models: comparison of methods

TL;DR: In this article, the authors compared several approaches to nonparametric estimation of vine copula and found that kernel estimators performed best, but did worse than penalized B-spline estimators when there is weak dependence and no tail dependence.