Generalized additive models for conditional dependence structures
From MaRDI portal
Publication:746876
DOI10.1016/j.jmva.2015.07.003zbMath1328.62390MaRDI QIDQ746876
Thibault Vatter, Valérie Chavez-Demoulin
Publication date: 21 October 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.07.003
copula; semiparametric modeling; regression splines; conditional rank correlations; intraday financial returns; penalized log-likelihood
62H30: Classification and discrimination; cluster analysis (statistical aspects)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F03: Parametric hypothesis testing
62J12: Generalized linear models (logistic models)
Related Items
Generalized Link-Based Additive Survival Models with Informative Censoring, Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation, Copula Link-Based Additive Models for Right-Censored Event Time Data, Nonstationary modelling of tail dependence of two subjects' concentration, Bivariate copula additive models for location, scale and shape, Bayesian inference for conditional copulas using Gaussian process single index models, About tests of the ``simplifying assumption for conditional copulas, Estimating non-simplified vine copulas using penalized splines, Robust fitting for generalized additive models for location, scale and shape, Approximate Bayesian conditional copulas, Conditional empirical copula processes and generalized measures of association, Copula link-based additive models for bivariate time-to-event outcomes with general censoring scheme, Generalized Additive Models for Pair-Copula Constructions
Uses Software
Cites Work
- Pair-copula constructions of multiple dependence
- Statistical testing of covariate effects in conditional copula models
- Time-dependent copulas
- In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
- Hazard regression with penalized spline: the smoothing parameter choice and asymptotics
- Conditional copulas, association measures and their applications
- Generalized additive models
- On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- An introduction to copulas. Properties and applications
- Vines -- a new graphical model for dependent random variables.
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Minimizing GCV/GML Scores with Multiple Smoothing Parameters via the Newton Method
- Penalized Likelihood for General Semi-Parametric Regression Models
- Penalized Spline Estimation for Partially Linear Single-Index Models
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Stable and Efficient Multiple Smoothing Parameter Estimation for Generalized Additive Models
- Efficient Estimation of Semiparametric Multivariate Copula Models
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item