Conditionalization of copula-based models

DOI10.1287/DECA.1120.0243MaRDI QIDQ2963444zbMATH OpenOpenAlexFDO

Authors D. Kurowicka

Publication date 14 February 2017

Published in Decision Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/deca.1120.0243

zbMATH Keywords

Bayesian belief netscopulaiterative proportional fittinglocal dependence functionmarginal replacementmixed derivative measure of interaction

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• Parametric estimation of conditional copulas
• Dependence structure of conditional Archimedean copulas
• Conditioning of copulas: transformations, invariance and measures of concordance
• Univariate conditioning of copulas
• Dependence properties of conditional distributions of some copula models

Cites work

• scientific article; zbMATH DE number 4211299 (Why is no real title available?)
• scientific article; zbMATH DE number 774833 (Why is no real title available?)
• I-divergence geometry of probability distributions and minimization problems
• Probability Densities with Given Marginals
• Uncertainty Analysis with High Dimensional Dependence Modelling

Cited in

(6)

• Conditional information using copulas with an application to decision making
• Sparse conditional copula models for structured output regression
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• MAKING COPULAS UNDER UNCERTAINTY
• Modeling Dependencies with Copulae
• Bootstrapping the conditional copula

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