Nonparametric estimation of simplified vine copula models: comparison of methods
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Publication:1616352
DOI10.1515/DEMO-2017-0007zbMATH Open1404.62034arXiv1701.00845OpenAlexW3099790688MaRDI QIDQ1616352FDOQ1616352
Authors: Christian Schellhase, Claudia Czado, Thomas Nagler 
Publication date: 1 November 2018
Published in: Dependence Modeling (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1701.00845
Recommendations
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Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cited In (15)
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Estimating non-simplified vine copulas using penalized splines
- Solving Estimating Equations With Copulas
- A copula-based method of classifying individuals into binary disease categories using dependent biomarkers
- A streaming algorithm for bivariate empirical copulas
- Estimating standard errors in regular vine copula models
- Simplified vine copula models: approximations based on the simplifying assumption
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Nonparametric C- and D-vine-based quantile regression
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Modelling credit card exposure at default using vine copula quantile regression
- Informative goodness-of-fit for multivariate distributions
- Modelling the association in bivariate survival data by using a Bernstein copula
- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
- Title not available (Why is that?)
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