How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond (Q2044366): Difference between revisions

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English	How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond	scientific article

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scholarly article

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title

How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond (English)

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Electronic Journal of Statistics

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publication date

9 August 2021

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full work available at URL

https://arxiv.org/abs/2006.06542

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zbMATH Keywords

pair-copula construction

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simplifying assumption

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conditional distribution

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Markov kernel

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dependence

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MaRDI profile type

MaRDI publication profile

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cites work

Pair-copula constructions of multiple dependence

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Beyond simplified pair-copula constructions

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Vines -- a new graphical model for dependent random variables.

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Accounting for Parameter Uncertainty in Large-Scale Stochastic Simulations with Correlated Inputs

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Default probability estimation via pair copula constructions

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About tests of the ``simplifying'' assumption for conditional copulas

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Multivariate shuffles and approximation of copulas

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Principles of Copula Theory

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Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems

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Characterizations of copulas attaining the bounds of multivariate Kendall's tau

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Estimation of a Copula when a Covariate Affects only Marginal Distributions

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Partial and average copulas and association measures

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Nonparametric testing for no covariate effects in conditional copulas

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Parameter estimation for pair-copula constructions

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On the simplified pair-copula construction -- simply useful or too simplistic?

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Foundations of Modern Probability

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Flexible pair-copula estimation in D-vines using bivariate penalized splines

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Examination and visualisation of the simplifying assumption for vine copulas in three dimensions

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Correlation and Complete Dependence of Random Variables

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Some approximations of \(n\)-copulas

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Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas

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How close are pairwise and mutual independence?

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An introduction to copulas.

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On the weak convergence of the empirical conditional copula under a simplifying assumption

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MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS

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The partial copula: properties and associated dependence measures

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Simplified vine copula models: approximations based on the simplifying assumption

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Simplified pair copula constructions -- limitations and extensions

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Identifiers

zbMATH Open document ID

1471.62359

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DOI

10.1214/21-EJS1832

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2044366

@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Beyond simplified pair-copula constructions
@@ Property / cites work: Beyond simplified pair-copula constructions / rank @@
+Normal rank
@@ Property / cites work @@
+Vines -- a new graphical model for dependent random variables.
+Normal rank
@@ Property / cites work @@
+Accounting for Parameter Uncertainty in Large-Scale Stochastic Simulations with Correlated Inputs
+Normal rank
@@ Property / cites work @@
+Default probability estimation via pair copula constructions
+Normal rank
@@ Property / cites work @@
+About tests of the ``simplifying'' assumption for conditional copulas
+Normal rank
@@ Property / cites work @@
+Multivariate shuffles and approximation of copulas
+Normal rank
@@ Property / cites work @@
+Principles of Copula Theory
@@ Property / cites work: Principles of Copula Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
+Normal rank
@@ Property / cites work @@
+Characterizations of copulas attaining the bounds of multivariate Kendall's tau
+Normal rank
@@ Property / cites work @@
+Estimation of a Copula when a Covariate Affects only Marginal 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 @@
+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 @@
+Foundations of Modern Probability
@@ Property / cites work: Foundations of Modern Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Flexible pair-copula estimation in D-vines using bivariate penalized splines
+Normal rank
@@ Property / cites work @@
+Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
+Normal rank
@@ Property / cites work @@
+Correlation and Complete Dependence of Random Variables
+Normal rank
@@ Property / cites work @@
+Some approximations of \(n\)-copulas
@@ Property / cites work: Some approximations of \(n\)-copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
+Normal rank
@@ Property / cites work @@
+How close are pairwise and mutual independence?
@@ Property / cites work: How close are pairwise and mutual independence? / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+On the weak convergence of the empirical conditional copula under a simplifying assumption
+Normal rank
@@ Property / cites work @@
+MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS
+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