Model selection tests for truncated vine copulas under nested hypotheses
From MaRDI portal
Cites work
- A corrected Clarke test for model selection and beyond
- An introduction to copulas.
- Beyond simplified pair-copula constructions
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Information Criteria for Discriminating Among Alternative Regression Models
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Maximum Likelihood Estimation of Misspecified Models
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Selecting and estimating regular vine copulae and application to financial returns
- Simplified pair copula constructions -- limitations and extensions
- Tail dependence functions and vine copulas
- Truncated regular vines in high dimensions with application to financial data
- Truncation of vine copulas using fit indices
- Vines -- a new graphical model for dependent random variables.
This page was built for publication: Model selection tests for truncated vine copulas under nested hypotheses
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7318174)
