Testing the simplifying assumption in high-dimensional vine copulas
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Publication:90995
DOI10.1214/22-EJS2051OpenAlexW4304195711WikidataQ114599167 ScholiaQ114599167MaRDI QIDQ90995
Malte S. Kurz, Fabian Spanhel, Fabian Spanhel, Malte S. Kurz
Publication date: 1 January 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.02338
conditional copulapair-copula constructionvine copulasimplifying assumptionpartial vine copulatest for constant conditional correlation
Related Items (7)
On Kendall's regression ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Estimating non-simplified vine copulas using penalized splines ⋮ Testing for equality between conditional copulas given discretized conditioning events ⋮ pacotest ⋮ Approximate Bayesian conditional copulas ⋮ Conditional empirical copula processes and generalized measures of association
Uses Software
Cites Work
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