FactorCopulaModel
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Description
Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.
- Factor copula models for multivariate data
- High-dimensional factor copula models with estimation of latent variables
- Parsimonious graphical dependence models constructed from vines
- Structured factor copula models: theory, inference and computation
- Tail-weighted dependence measures with limit being the tail dependence coefficient
This page was built for software: FactorCopulaModel
