Prof. Ph.D. Claudia Czado

Technische Universität München

Professur für Angewandte Mathematische Statistik (Prof. Czado)

Postadresse

Postal:
Boltzmannstr. 3
85748 Garching b. München

Fotografin: Astrid Eckert (2017)

Short - CV

The research activities of Prof. Czado (b. 1959) center on the field of statistics and data science. Her focus lies on modeling complex dependencies including regression effects and time/space structures using vine copula based models. See Vine Copula Models for more details and developments. These allow the construction of high dimensional multivariate distributions for data including different asymmetrical dependencies for each pair of variables. Computer-aided processes are developed/optimized for selection, estimation and adaptation to complex data structures. Applications can be found in finance and insurance as well as in engineering, earth and life sciences. A number of cooperation agreements with various international scientists and industry representatives are in place. In 2019 Prof. Czado has published a text book on analyzing dependent data with vine copulas.

After studying in Göttingen, Prof. Czado received her doctorate from Cornell University in the field of Operations Research and Industrial Engineering in 1989. She then became assistant professor and, in 1995, associate professor at York University, Toronto. In 1998, she was appointed to a professorship position in Applied Mathematical Statistics at TUM. She is the co-founder/coordinator of the “Global Challenges for Women in Math Science” young scientists program at TUM and since 1998 has held the position of (acting) women’s representative for the department. 

 

For full details of her CV, please download the pdf file: Curriculum Vitae

Research interests

  • Modeling of dependencies
  • Vine copulas and distributions
  • Bayesian Inference and model selection using Markov Chain Monte Carlo methods
  • Generalized linear models with time and space components
  • Overdispersion models
  • Non Gaussian belief networks
  • Risk management in insurance, finance and medicine

Link to Vine Copula Hompage

Books

Czado C.(2019)
Analyzing dependent data with vine copulas
Lecture Notes in Statistics Vol. 222
Springer Verlag

Czado, C. and Schmidt, T. (2011)
Mathematische Statistik 
Springer-Verlag, Berlin

Publications

2022

  • Czado, Claudia; Nagler, Thomas: Vine Copula Based Modeling. Annual Review of Statistics and Its Application 9 (1), 2022, 453-477 more… Full text ( DOI )
  • Kreuzer, Alexander; Dalla Valle, Luciana; Czado, Claudia: A Bayesian non‐linear state space copula model for air pollution in Beijing. Journal of the Royal Statistical Society: Series C (Applied Statistics), 2022 more… Full text ( DOI )
  • Sahin, Özge; Bax, Karoline; Paterlini, Sandra; Czado, Claudia: The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology. SSRN Electronic Journal, 2022, 30 pages more… Full text ( DOI )
  • Sahin, Özge; Czado, Claudia: Vine copula mixture models and clustering for non-Gaussian data. Econometrics and Statistics 22, 2022, 136-158 more… Full text ( DOI )
  • Tepegjozova, Marija; Zhou, Jing; Claeskens, Gerda; Czado, Claudia: Nonparametric C- and D-vine-based quantile regression. Dependence Modeling 10 (1), 2022, 1-21 more… Full text ( DOI )
  • Yang, Lu; Czado, Claudia: Two‐part D‐vine copula models for longitudinal insurance claim data. Scandinavian Journal of Statistics, 2022 more… Full text ( DOI )

2021

  • Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, Sandra: ESG, Risk, and (Tail) Dependence. SSRN Electronic Journal, 2021, 29 Pages more… Full text ( DOI )
  • Claudia Czado, Ingrid Van Keilegom: Dependent censoring based on copulas. Preprint, 2021, 33 pages more…
  • Sahin, Özge and Czado, Claudia: Vine copula mixture models and clustering for non-Gaussian data. Preprint, 2021 more…
  • Sahin, Özge; Bax, Karoline; Paterlini, Sandra; Czado, Claudia: ESGM: ESG scores and the Missing pillar. SSRN Electronic Journal, 2021, 21 Pages more… Full text ( DOI )
  • Tepegjozova, M., Zhou, J., Claeskens, G., and Czado, C.: Nonparametric C- and D-vine based quantile regression. Preprint, 2021 more…

2020

  • Alexander Kreuzer, Claudia Czado: Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. Journal of Computational and Graphical Statistics 29 (3), 2020, 523-534 more… Full text ( DOI )
  • Barthel, Nicole; Czado, Claudia; Okhrin, Yarema: A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series. Computational Statistics & Data Analysis 142 (142), 2020, t.b.a. more… Full text ( DOI )
  • Wang, Xiaolong; Beller, Lukas; Czado, Claudia; Holzapfel, Florian: Modeling of Stochastic Wind Based on Operational Flight Data Using Karhunen–Loève Expansion Method. Sensors 20 (16), 2020, 4634 more… Full text ( DOI )

2019

  • Acar, Elif F., Czado, Claudia and Lysy, Martin: Flexible dynamic vine copula models for multivariate time series data. Econometrics and Statistics 12 (12), 2019, 181-197 more… Full text ( DOI )
  • Barthel, Nicole; Geerdens, Candida; Czado, Claudia; Janssen, Paul: Dependence modeling for recurrent event times subject to right‐censoring with D‐vine copulas. Biometrics 75 (2), 2019, 439-451 more… Full text ( DOI ) Full text (mediaTUM)
  • Czado, Claudia: Diggle, P., Gather, U., and Zeger, S. (Ed.): Analyzing Dependent Data with Vine Copulas – A Practical Guide With R. Volume 222. Springer International Publishing, 2019 more… Full text ( DOI )
  • Czado, Claudia; Ivanov, Eugen; Okhrin, Yarema: Modelling temporal dependence of realized variances with vines. Econometrics and Statistics 12, 2019, 198-216 more… Full text ( DOI )
  • Jäger, W.S.; Nagler, T.; Czado, C.; McCall, R.T.: A statistical simulation method for joint time series of non-stationary hourly wave parameters. Coastal Engineering 146 (146), 2019, 14-31 more… Full text ( DOI )
  • Kreuzer, A. and Czado, C.: Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. Preprint, 2019 more… Full text (mediaTUM)
  • Kreuzer, A. and Czado, C.: Bayesian inference for dynamic vine copulas in higher dimensions. Preprint, 2019 more… Full text (mediaTUM)
  • Kreuzer, A. and Czado, C.: Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. Preprint, 2019 more… Full text (mediaTUM)
  • Kreuzer, A., Dalla Valle, L. and Czado, C.: Bayesian Multivariate Nonlinear State Space Copula Models. Preprint, 2019 more… Full text (mediaTUM)
  • Müller, D. and Czado C.: Selection of Sparse Vine Copulas in High Dimensions with the Lasso. Statistics and Computing 29 (2), 2019, 269-287 more… Full text ( DOI )
  • Müller, D. and Czado, C.: Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso. Computational Statistics & Data Analysis 137, 2019, 211-232 more… Full text ( DOI )
  • Nagler, T., Bumann, C. and Czado, C.: Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. Journal of Multivariate Analysis 172, 2019, 180-192 more… Full text ( DOI )

2018

  • Barthel, Nicole; Geerdens, Candida; Killiches, Matthias; Janssen, Paul; Czado, Claudia: Vine copula based likelihood estimation of dependence patterns in multivariate event time data. Computational Statistics & Data Analysis 117, 2018, 109-127 more… Full text ( DOI )
  • Erhardt, T.M. and Czado, C.: Standardized drought indices: A novel uni- and multivariate approach. Journal of the Royal Statistical Society: Series C (Applied Statistics) 67 (3), 2018, 643-664 more… Full text ( DOI ) Full text (mediaTUM)
  • Gruber, L. and Czado, D.: Bayesian Model Selection of Regular Vine Copulas. Bayesian Analysis 13 (4), 2018, 1111-1135 more… Full text ( DOI )
  • Jäger, W.S., Nagler, T., Czado, C. and McCall, R.T.: A Statistical Simulation Method for Joint Time Series of Non-stationary Hourly Wave Parameters. Preprint, 2018 more…
  • Killiches, M. and Czado, C.: AD‐vine copula‐based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Journal of The International Biometric Society, 2018 more… Full text ( DOI )
  • Killiches, M., Kraus, D. and Czado, C.: Model distances for vine copulas in high dimensions. Statistics and Computing 28 (2), 2018, 323–341 more…
  • Killiches, M., Kraus, D., and Czado, C.: Model distances for vine copulas in high dimensions. Statistics and Computing 28 (2), 2018, 323–341 more… Full text (mediaTUM)
  • Möller, A., Spazzini, L., Kraus, D., Nagler, T. and Czado, C.: Vine copula based post-processing of ensemble forecasts for temperature. Preprint, 2018 more…
  • Müller, D. and Czado, D.: Representing Sparse Gaussian DAGs as Sparse R-vines Allowing for Non-Gaussian Dependence. Journal of Computational and Graphical Statistics 27 (2), 2018, 334-344 more… Full text ( DOI )
  • Müller, Dominik; Czado, Claudia: Selection of sparse vine copulas in high dimensions with the Lasso. Statistics and Computing 29 (2), 2018, 269-287 more… Full text ( DOI )

2017

  • Fischer, M., Kraus, D., Pfeuffer, M., and Czado, C.: Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. Risks 5 (3), 2017, 38-50 more… Full text ( DOI ) Full text (mediaTUM)
  • Killiches, M. and Czado, C.: A D-vine copula based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Preprint, 2017 more… Full text (mediaTUM)
  • Killiches, M., Kraus, D., and Czado, C.: Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas. Preprint, 2017 more… Full text (mediaTUM)
  • Killiches, M., Kraus, D., and Czado, C.: Examination and visualization of the simplifying assumption for vine copulas in three dimensions. Australian and New Zealand Journal of Statistics 59 (1), 2017, 95–117 more… Full text ( DOI ) Full text (mediaTUM)
  • Kraus, D. and Czado, C.: Growing simplified vine copula trees: improving Dißmann's algorithm. Preprint, 2017 more… Full text (mediaTUM)
  • Kraus, D. and Czado, C.: D-vine copula based quantile regression. Computational Statistics and Data Analysis 110, 2017, 1-18 more… Full text ( DOI ) Full text (mediaTUM)
  • Kreuzer, A., Erhardt, T., Nagler, T., and Czado, C.: Heavy tailed spatial autocorrelation models. Preprint, 2017 more… Full text (mediaTUM)
  • Müller, D. and Czado C.: Dependence Modeling in Ultra High Dimensions with Vine Copulas and the Graphical Lasso. Preprint, 2017 more… Full text (mediaTUM)
  • Pereira, G., Veiga, A., Erhardt, T., and Czado, C.: A periodic spatial vine copula model for multi-site streamflow simulation. Electric Power Systems Research 152, 2017, 9-17 more… Full text ( DOI )
  • Schallhorn, N., Kraus, D., Nagler, T., and Czado, C.: D-vine quantile regression with discrete variables. Preprint, 2017 more… Full text (mediaTUM)

2016

  • Barthel, N., Geerdens, C., Killiches, M., Janssen, P., and Czado, C.: Vine copula based inference of multivariate event time data. Preprint, 2016 more…
  • Bauer, A. and Czado, C.: Pair-copula Bayesian networks. Journal of Computational and Graphical Statistics 25 (4), 2016, 1248–1271 more… Full text ( DOI )
  • Müller, D. and Czado C.: Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian Dependence. Preprint, 2016 more… Full text ( DOI )
  • Nagler, T. and Czado, C.: Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas. Journal of Multivariate Analysis 151 (C), 2016, 69-89 more… Full text ( DOI )

2015

  • Baumgartner, C., Gruber, L., and Czado, C.: Bayesian total loss estimation using shared random effects. Insurance: Mathematics and Economics 62, 2015, 194-201 more…
  • Brechmann, E.C., and Czado, C.: COPAR - Multivariate time series modeling using the COPula AutoRegressive model. Applied Stochastic Models in Business and Industry 31 (4), 2015, 495-514 more… Full text ( DOI ) Full text (mediaTUM)
  • Erhardt, T.M., Czado, C. and Schepsmeier, U.: Spatial composite likelihood inference using local C-vines. Journal of Multivariate Analysis 138, 2015, 74-88 more… Full text ( DOI )
  • Erhardt, T.M., Czado, C., and Schepsmeier, U.: R-vine models for spatial time series with an application to daily mean temperature. Biometrics 71 (2), 2015, 323-332 more… Full text ( DOI ) Full text (mediaTUM)
  • Gruber, L., and Czado C.: Sequential Bayesian model selection of regular vine copulas. Bayesian Analysis 10 (4), 2015, 937-963 more… Full text (mediaTUM)
  • Stöber, J., Hong, H.G., Czado, C., and Ghosh, P.: Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses. Computational Statistics and Data Analysis 88, 2015, 28-39 more…

2014

  • Brechmann, E.C., Czado, C., and Paterlini, S.: Flexible dependence modeling of operational risk losses and its impact on total capital requirements. Journal of Banking and Finance 40 (C), 2014, 271-285 more… Full text (mediaTUM)
  • Czado, C., Schabenberger, H., and Erhardt, V.: Nonnested model selection for spatial count regression models with application to health insurance. Statistical Papers 55 (2), 2014, 455-476 more… Full text (mediaTUM)
  • Gruber, L., and Czado C.: Bayesian model selection of regular vine copulas. In: Ettore Lanzarone, Francesca Ieva (Ed.): The Contribution of Young Researchers to Bayesian Statistics. Springer, 2014 more…
  • Min, A., and Czado, C.: SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 more… Full text ( DOI )
  • Stöber, J., and Czado, C.: Regime switches in the dependence structure of multidimensional financial data. Computational Statistics and Data Analysis 76, 2014, 672-686 more… Full text ( DOI ) Full text (mediaTUM)

2013

  • Bernard, C., and Czado, C.: Multivariate option pricing using copulae. Applied Stochastic Models in Business and Industry 29 (5), 2013, 509–526 more… Full text ( DOI ) Full text (mediaTUM)
  • Brechmann, E.C., Hendrich, K., and Czado, C.: Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics 53 (3), 2013, 722–732 more… Full text ( DOI ) Full text (mediaTUM)
  • Brechmann, E.C., K. Hendrich and C. Czado: Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics (53), 2013, 722-732 more… Full text (mediaTUM)
  • Brechmann, E.C., and Czado, C.: Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50. Statistics and Risk Modeling 30 (4), 2013, 307–342 more… Full text ( DOI ) Full text (mediaTUM)
  • Czado, C., Brechmann, E.C., and Gruber, L.: Selection of Vine Copulas. In: Jaworski, Piotr, Durante, Fabrizio, Härdle, Wolfgang Karl: Copulae in Mathematical and Quantitative Finance. Springer, 2013, 17-37 more… Full text (mediaTUM)
  • Dißmann, J., Brechmann, E.C., Czado, C., and Kurowicka, D.: Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 59, 2013, 52–69 more… Full text (mediaTUM)
  • Krämer, N., Brechmann, E.C., Silvestrini, D., and Czado, C.: Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 2013, 829–839 more… Full text ( DOI ) Full text (mediaTUM)

2012

2011

  • Brechmann, E.C., Czado, C. and Ng, P.: Quantifying geographical and macroeconomic effects on bank branch deposits using linear mixed models. International Journal of Statistics and Management Systems 6 (1-2), 2011, 22-46 more… Full text (mediaTUM)
  • Czado, C. and Schmidt, T.: Mathematische Statistik. Springer Verlag, 2011 more… Full text (mediaTUM)
  • Czado, C., Heyn, A., Müller, G.: Modeling individual migraine severity with autoregressive ordered probit models. Statistical Methods and Applications 20 (1), 2011, 101-121 more… Full text (mediaTUM)
  • Czado, C., Zhang, R., Min, A.: Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196–1214 more… Full text ( DOI ) Full text (mediaTUM)
  • Dakovic, R., Czado, C.: Comparing point and interval estimates in the bivariate t-copula model with application to financial data. Statistical Papers 52 (3), 2011, 709-731 more… Full text (mediaTUM)
  • Min, A. and Czado,C.: Bayesian model selection for D-vine pair-copula constructions. Canadian Journal of Statistics 39 (2), 2011, 239–258 more… Full text ( DOI ) Full text (mediaTUM)

2010

  • Czado, C.: Pair-copula constructions of multivariate copulas. In: Workshop on Copula Theory and its Applications. Springer, 2010, 93-109 more… Full text (mediaTUM)
  • Czado, C. and Haug, S.: An ACD-ECOGARCH(1,1) model. Journal of Financial Econometrics 8 (3), 2010, 335-344 more… Full text ( DOI ) Full text (mediaTUM)
  • Czado, C., Gärtner, F., and Min, A.: Analysis of australian electricity loads using joint bayesian inference of d-vines with autoregressive margins. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2010 more…
  • Czado, C., Haug, S.: Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model. Supplement to "An ACD-ECOGARCH(1,1) model", 2010 more… Full text (mediaTUM)
  • Czado, C.., Nguyen, T., Müller, G: Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison. In: Kneib, Thomas, Tutz, Gerhard: Statistical Modelling and Regression Structures. Springer, 2010, 301-320 more… Full text ( DOI ) Full text (mediaTUM)
  • Dakovic, R., Czado, C., Berg, D.: Bankruptcy prediction in Norway: a comparison study. Applied Economics Letters 17 (17), 2010, 1739-1746 more… Full text ( DOI ) Full text (mediaTUM)
  • Erhardt, V., Bogdan, M. and Czado, C.: Locating multiple interacting quantitative trait loci with the zero-inflated generalized Poisson regression. Statistical Applications in Genetics and Molecular Biology 9 (1), 2010 more… Full text ( DOI ) Full text (mediaTUM)
  • Erhardt, V., Czado, C.: A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. INFORMS - Journal on Computing, 2010 more… Full text (mediaTUM)
  • Hofmann, M. and Czado, C.: Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models. Preprint, 2010 more… Full text (mediaTUM)
  • Min, A. and Czado, C.: Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 more… Full text ( DOI ) Full text (mediaTUM)
  • Min, A., Holzmann, H., and Czado, C.: Model selection strategies for identifying most relevant covariates in homoscedastic linear models. Computational Statistics and Data Analysis 54, 2010, 3194-3211 more… Full text (mediaTUM)
  • Min, A., and Czado, C.: Testing for zero-modification in count regression models. Statistica Sinica 20, 2010, 323-341 more… Full text (mediaTUM)
  • Smith, M., Min, A., Almeida,C. and Czado,C.: Modelling longitudinal data using a pair-copula decomposition of serial dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 more… Full text ( DOI ) Full text (mediaTUM)

2009

2008

  • Czado, C., Pflüger, C.: Modeling dependencies between rating categories and their efects on prediction in a credit risk portfolio. Applied Stochastic Models in Business and Industry 24 (3), 2008, 237-259 more… Full text ( DOI ) Full text (mediaTUM)
  • Czado, C., Prokopenko, S.: Modeling transport mode decisions using hierarchical logistic regression models with spatial and cluster effects. Statistical Modelling 8 (4), 2008, 315-345 more… Full text (mediaTUM)
  • Czado, C., Song, P. X.-K.: State space mixed models for longitudinal observations with binary and binomial responses. Statistical Papers 49 (4), 2008, 691-714 more… Full text (mediaTUM)
  • Gschlößl, S., Czado, C.: Modelling count data with overdispersion and spatial effects. Statistical Papers (49(3)), 2008, 531-552 more… Full text (mediaTUM)
  • Gschlößl, S., Czado, C.: Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler? Computational Statistics and Data Analysis 52 (9), 2008, 4184-4202 more… Full text (mediaTUM)

2007

  • Czado, C. and Kolbe, A.: Model-based quantification of the volatility of options at transaction level with extended count regression models. Applied Stochastic Models in Business and Industry 23 (1), 2007, 1-21 more… Full text ( DOI ) Full text (mediaTUM)
  • Czado, C., Erhardt, V., Min, A. and Wagner, S.: Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 more… Full text (mediaTUM)
  • Freitag, G., Czado, C., Munk, A.: A nonparametric test for similarity of marginals - with applications to the assessment of population bioequivalence. Journal of Statistical Planning and Inference 137 (3), 2007, 697-711 more… Full text (mediaTUM)
  • Gschlößl, S. and Czado, C.: Spatial modelling of claim frequency and claim size in non-life insurance. Scandinavian Actuarial Journal 107, 2007, 202-225 more… Full text (mediaTUM)
  • Haug S. and Czado, C.: An exponential continuous time GARCH process. Journal of Applied Probability 44 (4), 2007, 960-976 more… Full text ( DOI ) Full text (mediaTUM)

2006

  • Czado, C. and Raftery, A.E.: Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors. Statistical Papers 47 (3), 2006, 419-442 more… Full text (mediaTUM)
  • Haug, S. and Czado, C.: Mixed effect models for absolute log returns of ultra high frequency data. Applied Stochastic Models in Business and Industry 22 (3), 2006, 243-267 more… Full text ( DOI ) Full text (mediaTUM)
  • Haug, S., Czado, C.: A fractionally integrated ECOGARCH process. Discussion Paper 484 beim SFB 386 "Diskrete Strukturen"., 2006 more… Full text (mediaTUM)
  • Holzmann, H., Min, A., Czado, C.: Validating linear restrictions in linear regression models with general error structure. Discussion Paper 478 beim SFB 386 "Diskrete Strukturen", 2006 more… Full text (mediaTUM)

2005

  • Czado, C., Delwarde, A., Denuit, M.: Bayesian poisson log-bilinear mortality projections. Insurance: Mathematics and Economics 36 (3), 2005, 260-284 more… Full text ( DOI ) Full text (mediaTUM)
  • Czado, C., Heyn, A., Müller, G.: Modeling individual migraine severity with autoregressive ordered probit models. Discussion Paper 413 beim SFB 386 "Diskrete Strukturen". , 2005 more… Full text (mediaTUM)
  • Czado, C., Min, A.: Zero-inflated generalized Poisson regression: Asymptotic theory and applications. Discussion Paper 474 beim SFB 386 "Diskrete Strukturen". , 2005 more… Full text (mediaTUM)
  • Czado, C., Prokopenko, S., Zängler, T.W.: Räumliche Logit-Modelle der individuellen Verkehrsmittelwahl mit Berücksichtigung von Clustereffekten. In: Deutsche Verkehrswissenschaftliche Gesellschaft (Hrsg.): 12. Seminar für Statistik und Verkehr - Mikroökonometrische Methoden in der Verkehrsforschung. . Schriftenreihe der Deutschen Verkehrswissenschaftlichen Gesellschaft e.V. DVWG, B 280 , 2005 more… Full text (mediaTUM)
  • Helms, F., Czado, C., Gschlößl, S.: Calculation of LTC premiums based on direct estimates of transition probabilities. ASTIN Bulletin 35, 2005, 455-469 more… Full text ( DOI ) Full text (mediaTUM)
  • Högn, R., Czado, C.: Multiresolution Analysis of Long Time Series With Applications to Finance. Discussion Paper 497 beim SFB 386 "Diskrete Strukturen", 2005 more… Full text (mediaTUM)
  • Müller, G., Czado, C.: An autoregressive ordered probit model with application to high frequency financial data. Journal of Computational and Graphical Statistics 14 (2), 2005, 320-338 more… Full text (mediaTUM)

2004

  • Czado, C.: Einführung zu Markov Chain Monte Carlo Verfahren mit Anwendung auf Gesamtschadenmodelle. Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik 26 (3), 2004, 331-350 more… Full text (mediaTUM)

2003

  • Czado, C., Gschlößl, S.: The inception selection effect of diagnosis in a German long term care portfolio. Discussion Paper 357 beim SFB 386 "Diskrete Strukturen", 2003 more… Full text (mediaTUM)
  • Högn, R., Czado, C.: Theoretical foundations of autoregressive models for time series on acyclic directed graphs. Discussion Paper 326 beim SFB 386 "Diskrete Strukturen". , 2003 more… Full text (mediaTUM)
  • Müller, G., Czado, C., Antes, S., Rottenwallner, M.: Regression models for ordinal valued time series: applications in high frequency finance and medicine. Discussion Paper 335 beim SFB 386 "Diskrete Strukturen". , 2003 more… Full text (mediaTUM)

2002

2001

2000

1998

1997

  • Czado, C.: On selecting parametric link transformation families in generalized linear models. Journal of Statistical Planning and Inference 61 (1), 1997, 125-139 more… Full text ( DOI )

1996

  • Czado, C. Chappell, R., and Newton, M.: Bayesian Inference for semiparametric binary regression. Journal of the American Statistical Association 91 (433), 1996, 142-153 more… Full text ( DOI )

1994

  • Czado, C.: Modeling overdispersion in binomial regression. Preprint, 1994 more…
  • Czado, C.: Parametric link modification of both tails in binary regression. Statistical Papers 35 (1), 1994, 189-201 more…
  • Czado, C.: Bayesian inference of binary regression models with parametric link. Journal of Statistical Planning and Inference 41 (2), 1994, 121-140 more…

1993

1985

  • Czado, C., Taqqu, M.S.: Reproducing kernel Hilbert space for some non-Gaussian processes. Probability in Banach Spaces/ Lecture Notes in Mathematics 1153, 1985, 128-140 more… Full text ( DOI )
  • Czado, C., Taqqu, M.S.: A survey of functional laws of the iterated logarithm for self-similar processes. Stochastic Models 1 (1), 1985, 77-115 more… Full text ( DOI )

Theses

Supervised theses

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2022

  • Florian Kössinger: Vine Copula and mixture model based analysis of the Sachs data. Master thesis, 2022 more…
  • Philipp Emanuel Maria Sommer: Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas - An unconditional and conditional rolling window approach. Master thesis, 2022 more…
  • Tamara Simjanoska: D-vine Regression in Insurance. Master thesis, 2022 more…
  • Ugochukwu Onumadu: Modeling the rental price per square meter in major German cities. Master thesis, 2022 more…

2021

  • Bastian Krämer: Real Estate appraisal estimation and forecasting: Comparing generalized and supervised learning methods. Master thesis, 2021 more…
  • Dayasri Ravi: Small sample performance of copula-based dependent censoring models with application. Master thesis, 2021 more…
  • Ka Wing Ho: EM algorithm and its extensions for Gaussian and vine copula mixture models. Master thesis, 2021 more…
  • Leopold Anton Mareis: Vine copula based quantile regression including discrete components. Master thesis, 2021 more…
  • Mohamed Maarouf: Backtesting Value-at-Risk of Financial Data Using Vine Copulas. Master thesis, 2021 more…
  • Sebastian Scharl: D-vine Regression Based Bayesian Networks Applied to the Sachs Dataset. Master thesis, 2021 more…

2020

  • Lisa Führmann: String Distance Functions for Text Recognition on Medical Invoice Data: Comparison and Statistical Analysis. Master thesis, 2020 more…
  • Maite Fabregat: Statistical quality evaluation in paper making. Master thesis, 2020 more…
  • Niklas van Heiss: Estimation of Prediction Intervals for Next-Day Air Temperatures in South Korea Using D-vine Copula Based Quantile Regression. Master thesis, 2020 more…
  • Niklas van Heiss: Estimation of Prediction Intervals for Next-Day Air Temperatures in South Korea Using D-vine Copula Based Quantile Regression. Master thesis, 2020 more…
  • Renée Thommes : Conditional Kendall's τ estimation based on weights. Master thesis, 2020 more…
  • Susanne Kollosche: Statistical analysis of energy appliance data. Master thesis, 2020 more…

2019

  • Kimberly Konrad: Statistical Methods for the Automatization of Basic Loss Model Calibration. Master thesis, 2019 more…
  • Marija Tepegjozova: D- and C-vine quantile regression for large data sets. Master thesis, 2019 more…
  • Özge Sahin: Statistical Analysis of the Number of Sales of a Pharmacy Product. Master thesis, 2019 more…

2018

  • Elias Jebabli: Statistical methods for the objective assessment of subjective ratings of advanced driver assistance systems. Master thesis, 2018 more…
  • Georg Huber: D-vine copula based mean regression and a comparison with gradient boosting. Master thesis, 2018 more…
  • Jakob Herrmann: Regular vine copula based quantile regression. Master thesis, 2018 more…
  • Raphael Weber: Value at Risk Estimation with Subset Simulation. Master thesis, 2018 more…

2017

  • Felix Hunschede: D-Vine Copula Based Modelling and Forecasting of Exposure Limits in Reinsurance. Master thesis, 2017 more…
  • Ligeng Zhong: Empirical study of GAM vine copula models for S&P 100 data. Master thesis, 2017 more…
  • Ludovica Spazzini: Calibration of ensemble weather forecasts using D-vine copula models. Master thesis, 2017 more…
  • Niklas Schallhorn: D-vine quantile regression for mixed discrete and continuous data with applications to bank stress testing. Master thesis, 2017 more…
  • Roman Masur: Estimation of Three-Dimensional Pair-Copula Constructions Using Mixture Distributions. Master thesis, 2017 more…

2016

  • Alexander Kreuzer : Analysing the spatial dependency among fire danger indices. Master thesis, 2016 more…
  • Alexander Sakuth: Identification of Directly Imputable Missing Data Patterns Using R-vine Copulas and Application to Multiple Imputation. Master thesis, 2016 more…
  • Alexej Brauer : Kernel Estimation of Conditional Copula Densities. Master thesis, 2016 more…
  • Christian Bumann: Sparse structure selection for high-dimensional vine copula models. Master thesis, 2016 more…
  • David Israel: Regression models for ordinal response data with application to a customer satisfaction survey. Master thesis, 2016 more…
  • Issac Annoh: Comparing Two-Part Models for Estimation of Actuarial Total Loss. Master thesis, 2016 more…
  • Johannes Süß: Vine Copula Modeling in Operational Risk. Master thesis, 2016 more…
  • Silvia Hannes: Recognition of Truncated Vine Copula Models by Application of Gaussian DAG Structures. Master thesis, 2016 more…

2015

  • Nicole Barthel: Multivariate Survival Analysis using Vine-Copulas. Master thesis, 2015 more…
  • Oleksandra Kulyk: Dependent Actuarial Two-Part Generalized Gamma / Hurdle Models with Applications. Master thesis, 2015 more…
  • Robert Hager: Information retrieval and cluster recognition of textual data obtained from Twitter using principal component analysis. Master thesis, 2015 more…
  • Stefan Glogger: Visualization of Trivariate Vine Copulae. Bachelor thesis, 2015 more…
  • Su Zhang : Copula-based Total Loss Estimation with Group Effects on the Dependence Structure. Master thesis, 2015 more…
  • Susanna Elsner: Vine Copula based analysis of online customer demand under market competition. Master thesis, 2015 more…
  • Yulong Guo: Likelihood Discrimination of Three Dimensional Vine Copula Models. Master thesis, 2015 more…

2014

  • Otto Kähm: Assessing System Relevance of Financial Institutions Using Pair-Copula Constructions for Modeling. Master thesis, 2014 more…
  • Sabine Weikl: Modellierung des Stornoverhaltens in der Rechtsschutzversicherung - Spezialfall BAK-Storno. Master thesis, 2014 more…
  • Thomas Nagler: Kernel Methods for Vine Copula Estimation. Master thesis, 2014 more…

2013

  • Dominik Neubauer: Return and VaR Prediction of Equity Portfolios Using DAG and R-Vine Copula Based Models. Master thesis, 2013 more…

2012

  • Daniel Silvestrini: Statistical Inference for Copula-based Bivariate Regression Models with Application to Insurance Data. Diplom thesis, 2012 more…
  • Florian Schewe: Modeling Dependence Between and within Different Loss Triangles. Master thesis, 2012 more…
  • Iryna Telink: Anwendung der GLM und der GAM zur Modellierung des Stornoverhaltens in Lebensversicherungsbeständen. Diplom thesis, 2012 more…
  • Katharina Hendrich: Copula-based Analysis of Interdependence among Companies in the Banking and Insurance Sector. Diplom thesis, 2012 more…
  • Michael Pachali: Modeling dependence among meteorological measurements and tree ring data. Diplom thesis, 2012 more…
  • Philippe Bretan: Parent orderings in pair-copula Bayesian networks. Diplom thesis, 2012 more…
  • Xaver Nebauer: Local change point detection in time-varying R-vine copula models. Diplom thesis, 2012 more…

2011

  • A. Crossmann: Analysewerkzeuge in Bayes-Netzen. Bachelor thesis, 2011 more…
  • Arthur Gerigk: Statistical Inference for Order Book Data. Master thesis, 2011 more…
  • Elisabeth Hobmaier: Influences on the loss of bone density in perimenopausal women - Applying linear mixed models. Diplom thesis, 2011 more…
  • F. Klemm : Ansätze der Parameterschätzung in Bayes-Netzwerken. Bachelor thesis, 2011 more…
  • F.Staudt : Sensitivitätanalyse für Hinweise. Bachelor thesis, 2011 more…
  • Jiying Luo: Stepwise estimation of D-Vines with arbitrary specified copula pairs and EDA Tools. Diplom thesis, 2011 more…
  • K. Schaar : Aktualisierung von Wahrscheinlichkeitsverteilungen in Bayes'schen Netzwerken. Bachelor thesis, 2011 more…
  • Lutz Gruber: Bayesian Analysis of R-Vine Copulas. Master thesis, 2011 more…
  • M. Walczack: Bayesian Networks, D-Separation and Probability Distributionson Bayesian Networks. Bachelor thesis, 2011 more…
  • S.Weikl : Belief Updating in Bayes-Netzwerken. Bachelor thesis, 2011 more…

2010

  • Annika Gauß: Statistische Modellierung am Beispiel des Deutschen Mobilitätspanels. Bachelor thesis, 2010 more…
  • Beate Müller: Statistische Modellierung einer binären Zielvariablen am Beispiel des Deutschen Mobilitätspanels. Bachelor thesis, 2010 more…
  • Eike Brechmann: Truncated and simplified regular vines and their applications. Diplom thesis, 2010 more…
  • Florian Schewe: Modellierung der durchschnittlich gefahrenen Strecke pro Tag durch Haushaltskomponenten, Tankbuchdaten und räumliche Informationen innerhalb einer Kohorte (klassifiziert nach Kraftstofftyp Benzin (Benzin/Diesel)). Bachelor thesis, 2010 more…
  • Jeffrey F. Dißmann: Statistical Inference for Regular Vines and Application. Diplom thesis, 2010 more…
  • Jiabao Ma: Bayesian inference for D-vine pair-copula constructions based on different bivariate families. Diplom thesis, 2010 more…
  • Kerstin Knapp: Statistische Modellierung am Beispiel des Deutschen Mobilitätspanels. Bachelor thesis, 2010 more…
  • Melanie Maier: Statistische Modellierung am Beispiel des Deutschen Mobilitätspanels. Bachelor thesis, 2010 more…
  • Natalia Belgorodski: Selecting pair-copula families for regular vines with application to the multivariate analysis of European stock market indices. Diplom thesis, 2010 more…
  • Nils Kampert: Statistische Modellierung am Beispiel des Deutschen Mobilitätspanels. Bachelor thesis, 2010 more…
  • Ulf Schepsmeier: Maximum likelihood estimation of C-vine pair-copula constructions based on bivariate copulas from different families. Diplom thesis, 2010 more…

2009

  • Hengyu Du: Bayesian analysis of regression models for longitudinal ordinal responses in cross sectional setups. Diplom thesis, 2009 more…
  • Jasper Niklas Lanzendörfer: Joint estimation of parameters in multivariate normal regression with correlated errors using pair-copula constructions and an application to finance. Diplom thesis, 2009 more…
  • Julia Pfettner: Statistical Inference and Model Selection for death rate models in life insurance. Diplom thesis, 2009 more…

2008

  • Florian Gärtner: Bayesian Analysis of Multivariate Time Series Models based on Pair-Copula Construction. Diplom thesis, 2008 more…
  • Ivonne Siegelin: Modellwahl bei der KFZ Haftp icht-Versicherung mit Hilfe von GLMs. Diplom thesis, 2008 more…
  • Maria Eltsova: Regression Models for Insured Windstorm Losses. Master thesis, 2008 more…
  • Rainer Kastenmeier: Joint Regression Analysis of Insurance Claims and Claim Sizes. Diplom thesis, 2008 more…
  • Ran Zhang: Maximization by Parts for Bivariate t- and Meta t-Distributions. Diplom thesis, 2008 more…
  • Yi Xie: Modelling of Liquidity Requirements for Revolving Credit Lines. Diplom thesis, 2008 more…

2007

  • Tanja Baumann: Modellierung von stochastischen Abhängigkeitsstrukturen auf Graphen. Diplom thesis, 2007 more…

2006

  • Andreas Wittmann: Zuverlässigkeitsmodellierung in agilen Prozessen. Diplom thesis, 2006 more…

2005

  • Silvia Fiedler: Bayesianische Vorhersagen für dynamische Regressionsmodelle mit Anwendungen auf Intraday Finanzzeitreihen. Diplom thesis, 2005 more…
  • Sylvia Grain: Gemeinsame Modellierung von Stornierungen und Abschl¨ussen in der Sachversicherung mithilfe des bivariaten Probit-Modells. Diplom thesis, 2005 more…
  • Thomas Kram: Auswirkungen der Umstellung der Gewichtung von Aktienmarktindices von Marktwertgewichtung auf Streubesitzgewichtung: Eine Untersuchung am Beispiel des Dow Jones STOXX 50. Diplom thesis, 2005 more…

2004

  • Andreas Kolbe: Statistical Analysis of Intraday Option Price Changes using extended Count Regression Models. Diplom thesis, 2004 more…
  • Anette Carolin Heyn: Statistische Verfahren für ordinale Zeitreihen mit Kovariablen. Diplom thesis, 2004 more…
  • Anna Katharina Fendt: Vergleich nicht-genesteter Regressionsmodelle für Zähldaten mit Hilfe von Bayes-Faktoren. Diplom thesis, 2004 more…
  • Benjamin Weiderer: Regressionsdiagnostiken für Zähldaten. Diplom thesis, 2004 more…
  • Daniel Stekeler: Verallgemeinerte Poissonregression und daraus abgeleitete Zero-In°ated und Zero-Hurdle Regressionsmodelle. Diplom thesis, 2004 more…

Ongoing theses

  • Li, Zichun: Comparison of clustering algorithms’ performances from univariate to multivariate data for variable selection (Claudia Czado, Özge Sahin)  
  • Das, Abhilakha: Risk Analysis and Extreme Value Modelling in Caribbean Data  - for Property Underwriting (Claudia Czado, Marija Tepegjozova)
  • Havlíčková, Petra: Analysis of Conditional Vine Copula Distributions using Hamiltonian Monte Carlo  (Claudia Czado, Ariane Hanebeck)