Dependence Calibration in Conditional Copulas: A Nonparametric Approach
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Cites work
- A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas.
- Analysis of multivariate survival data
- Estimation of copula-based semiparametric time series models
- Goodness-of-fit tests for copulas
- Goodness-of-fit tests for copulas: A review and a power study
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 5500638 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Local Likelihood Estimation
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- Nonparametric estimation of copula functions for dependence modelling
- Simultaneous confidence bands and hypothesis testing in varying-coefficient models
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Understanding Relationships Using Copulas
Cited in
(55)- Time-varying extreme value dependence with application to leading European stock markets
- 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
- Vine copula approximation: a generic method for coping with conditional dependence
- Single-index copulas
- Nonparametric measures of dependence for biometric data studies
- Multivariate and functional covariates and conditional copulas
- Score tests for covariate effects in conditional copulas
- Approximate Bayesian conditional copulas
- Correcting for sample selection bias in Bayesian distributional regression models
- Conditional empirical copula processes and generalized measures of association
- A new class of copula regression models for modelling multivariate heavy-tailed data
- Regular vines with strongly chordal pattern of (conditional) independence
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Omnibus test for covariate effects in conditional copula models
- Estimation of a bivariate conditional copula when a variable is subject to random right censoring
- Implicit copulas from Bayesian regularized regression smoothers
- Simultaneous inference in structured additive conditional copula regression models: a unifying Bayesian approach
- Construction of leading economic index for recession prediction using vine copulas
- Estimation of a conditional copula and association measures
- Generalized Additive Models for Pair-Copula Constructions
- Statistical testing of covariate effects in conditional copula models
- Time-dependent copulas
- Semiparametric estimation of conditional copulas
- Beyond simplified pair-copula constructions
- In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
- Quantile Association Regression Models
- Time-Varying Mixture Copula Models with Copula Selection
- Nonparametric estimation of multivariate multiparameter conditional copulas
- Investigation of the dependence structure in seismic hazard analysis: an application for Turkey
- Nonparametric testing for no covariate effects in conditional copulas
- Assessing high-risk scenarios by full-range tail dependence copulas
- Parametric estimation of conditional copulas
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
- Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures
- Spline approximations to conditional Archimedean copula
- Additive models for conditional copulas
- Dynamic copula-based methods for estimating rank-tracking probabilities with longitudinal data
- Principal stratification for quantile causal effects under partial compliance
- A wavelet-based estimation of the calibration function in conditional copula model
- Nonparametric kernel estimation of conditional copula density
- Analysis of paediatric visual acuity using Bayesian copula models with sinh-arcsinh marginal densities
- Median and quantile conditional copulas
- Bayesian Regularized Regression Copula Processes for Multivariate Responses
- Two-stage pseudo maximum likelihood estimation of semiparametric copula-based regression models for semi-competing risks data
- Gradient-boosted generalized linear models for conditional vine copulas
- A Bayesian latent Gaussian conditional autoregressive copula model for analyzing spatially-varying trends in rainfall
- Parametric estimation of conditional Archimedean copula generators for censored data
- Generalized linear mixed-effects joint model for longitudinal and bivariate survival data
- Probability equivalent level for CoVaR and VaR in bivariate student-t copulas with application to foreign exchange risk monitoring
- Local linear estimation of concordance probability with application to covariate effects models on association for bivariate failure-time data
- Generalized additive models for conditional dependence structures
- Simplified R-vine based forward regression
- Conditional copulas, association measures and their applications
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