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

DOI10.1016/J.JMVA.2016.07.003zbMath1346.62071arXiv1503.03305OpenAlexW2467760016MaRDI QIDQ93079

Claudia Czado, Thomas Nagler, Claudia Czado, Thomas Nagler

Publication date: October 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.03305

zbMATH Keywords

copulaclassificationasymptoticdependencekernel densityvine

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (27)

Estimation of high-order moment-independent importance measures for Shapley value analysis ⋮ Nonparametric estimation of simplified vine copula models: comparison of methods ⋮ Model selection for discrete regular vine copulas ⋮ A fast and objective multidimensional kernel density estimation method: fastKDE ⋮ Varying coefficient single-index regression model with missing responses under rank-based modelling ⋮ On copula-based conditional quantile estimators ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Modelling credit card exposure at default using vine copula quantile regression ⋮ Model distances for vine copulas in high dimensions ⋮ Estimating non-simplified vine copulas using penalized splines ⋮ The locally Gaussian density estimator for multivariate data ⋮ Explaining predictive models using Shapley values and non-parametric vine copulas ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Generalized signed-rank estimation for regression models with non-ignorable missing responses ⋮ Prediction based on conditional distributions of vine copulas ⋮ A generic approach to nonparametric function estimation with mixed data ⋮ Testing the simplifying assumption in high-dimensional vine copulas ⋮ D-vine copula based quantile regression ⋮ On classification with nonignorable missing data ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond ⋮ Dependence structure estimation using copula recursive trees ⋮ The bivariate K-finite normal mixture ‘blanket’ copula ⋮ Generalized Additive Models for Pair-Copula Constructions ⋮ kdevine ⋮ Robust estimation of single index models with responses missing at random ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas ⋮ Approximate Bayesian conditional copulas

Uses Software

• Unnamed Item
• ks
• kdevine
• kdecopula
• GitHub
• CopulaModel

Cites Work

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