Nonparametric estimation of simplified vine copula models: comparison of methods
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Abstract: In the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models, several approaches to nonparametric estimation of vine copulas have been proposed. In this article, we extend these approaches and compare them in an extensive simulation study and a real data application. We identify several factors driving the relative performance of the estimators. The most important one is the strength of dependence. No method was found to be uniformly better than all others. Overall, the kernel estimators performed best, but do worse than penalized B-spline estimators when there is weak dependence and no tail dependence.
Recommendations
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- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
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Cited in
(15)- Simplified vine copula models: approximations based on the simplifying assumption
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
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