Fast inference methods for high-dimensional factor copulas

DOI10.1515/DEMO-2022-0117MaRDI QIDQ2097684zbMATH OpenOpenAlexFDO

Authors Alex Verhoijsen, Pavel Krupskii

Publication date 14 November 2022

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2022-0117

zbMATH Keywords

high-dimensional inferencecomputational statisticsfactor copulasfast inference

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Analysis of Financial Time Series
• Bayesian Inference for the One-Factor Copula Model
• Determining the Number of Factors in Approximate Factor Models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Factor copula models for multivariate data
• Forecasting Using Principal Components From a Large Number of Predictors
• High dimensional dynamic stochastic copula models
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Structured factor copula models: theory, inference and computation
• Variational inference for high dimensional structured factor copulas

Cited in

(6)

• Estimation and inference in factor copula models with exogenous covariates
• Variational inference for high dimensional structured factor copulas
• Structured factor copula models: theory, inference and computation
• STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
• Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
• Factor copula models for multivariate data

Describes a project that uses

Uses Software

• QRM
• FinTS

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