Testing the simplifying assumption in high-dimensional vine copulas (Q90995): Difference between revisions

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-.1214/22-ejs2051
@@ Property / DOI: 10.1214/22-ejs2051 / rank @@
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+October 2022Timestamp +2022-10-18T00:00:00Z
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++2022-10-18T00:00:00Z
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@@ Property / publication date: 18 October 2022 / rank @@
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@@ Property / author @@
+Malte S. Kurz
@@ Property / author: Malte S. Kurz / rank @@
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@@ Property / author @@
+Fabian Spanhel
@@ Property / author: Fabian Spanhel / rank @@
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@@ Property / title @@
+Testing the simplifying assumption in high-dimensional vine copulas (English)
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@@ Property / full work available at URL @@
+https://arxiv.org/abs/1706.02338
@@ Property / full work available at URL: https://arxiv.org/abs/1706.02338 / rank @@
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@@ Property / full work available at URL @@
+https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Testing-the-simplifying-assumption-in-high-dimensional-vine-copulas/10.1214/22-EJS2051.full
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@@ Property / Mathematics Subject Classification ID @@
+-XX
@@ Property / Mathematics Subject Classification ID: 62-XX / rank @@
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@@ Property / zbMATH DE Number @@
+7603107
@@ Property / zbMATH DE Number: 7603107 / rank @@
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@@ Property / zbMATH Keywords @@
+conditional copula
@@ Property / zbMATH Keywords: conditional copula / rank @@
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@@ Property / zbMATH Keywords @@
+pair-copula construction
@@ Property / zbMATH Keywords: pair-copula construction / rank @@
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@@ Property / zbMATH Keywords @@
+partial vine copula
@@ Property / zbMATH Keywords: partial vine copula / rank @@
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@@ Property / zbMATH Keywords @@
+simplifying assumption
@@ Property / zbMATH Keywords: simplifying assumption / rank @@
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@@ Property / zbMATH Keywords @@
+test for constant conditional correlation
@@ Property / zbMATH Keywords: test for constant conditional correlation / rank @@
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@@ Property / zbMATH Keywords @@
+vine copula
@@ Property / zbMATH Keywords: vine copula / rank @@
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@@ Property / Wikidata QID @@
+Q114599167
@@ Property / Wikidata QID: Q114599167 / rank @@
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@@ Property / describes a project that uses @@
+VineCopula
@@ Property / describes a project that uses: VineCopula / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+pacotest
@@ Property / describes a project that uses: pacotest / rank @@
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@@ Property / describes a project that uses @@
+kdecopula
@@ Property / describes a project that uses: kdecopula / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W4304195711
@@ Property / OpenAlex ID: W4304195711 / rank @@
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@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical testing of covariate effects in conditional copula models
+Normal rank
@@ Property / cites work @@
+Probability density decomposition for conditionally dependent random variables modeled by vines
+Normal rank
@@ Property / cites work @@
+Vines -- a new graphical model for dependent random variables.
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Q3600720
@@ Property / cites work: Q3600720 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of copula-based semiparametric time series models
+Normal rank
@@ Property / cites work @@
+About tests of the ``simplifying'' assumption for conditional copulas
+Normal rank
@@ Property / cites work @@
+Selecting and estimating regular vine copulae and application to financial returns
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Q5810228
@@ Property / cites work: Q5810228 / rank @@
+Normal rank
@@ Property / cites work @@
+A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
+Normal rank
@@ Property / cites work @@
+Partial and average copulas and association measures
+Normal rank
@@ Property / cites work @@
+Nonparametric testing for no covariate effects in conditional copulas
+Normal rank
@@ Property / cites work @@
+Score tests for covariate effects in conditional copulas
+Normal rank
@@ Property / cites work @@
+Vine constructions of Lévy copulas
@@ Property / cites work: Vine constructions of Lévy copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for pair-copula constructions
+Normal rank
@@ Property / cites work @@
+On the simplified pair-copula construction -- simply useful or too simplistic?
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail dependence functions and vine copulas
@@ Property / cites work: Tail dependence functions and vine copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
+Normal rank
@@ Property / cites work @@
+Breaking the curse of dimensionality in nonparametric testing
+Normal rank
@@ Property / cites work @@
+Exact post-selection inference, with application to the Lasso
+Normal rank
@@ Property / cites work @@
+How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
+Normal rank
@@ Property / cites work @@
+Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
+Normal rank
@@ Property / cites work @@
+A review of copula models for economic time series
+Normal rank
@@ Property / cites work @@
+Applications and asymptotic power of marginal-free tests of stochastic vectorial independence
+Normal rank
@@ Property / cites work @@
+Estimating non-simplified vine copulas using penalized splines
+Normal rank
@@ Property / cites work @@
+The partial copula: properties and associated dependence measures
+Normal rank
@@ Property / cites work @@
+Simplified vine copula models: approximations based on the simplifying assumption
+Normal rank
@@ Property / cites work @@
+Simplified pair copula constructions -- limitations and extensions
+Normal rank
@@ Property / cites work @@
+Estimating standard errors in regular vine copula models
+Normal rank
@@ Property / cites work @@
+Semiparametric estimation in copula models
@@ Property / cites work: Semiparametric estimation in copula models / rank @@
+Normal rank
@@ Property / DOI @@
+.1214/22-EJS2051
@@ Property / DOI: 10.1214/22-EJS2051 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:90995