Nonparametric estimation of pair-copula constructions with the empirical pair-copula
DOI10.1016/J.CSDA.2014.10.020OpenAlexW2166486650MaRDI QIDQ1623802FDOQ1623802
Authors: Ingrid Hobæk Haff, Johan Segers 
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.5133
Recommendations
model selectionsmoothingempirical copulaindependenceresamplingpair-copularegular vineSpearman rank correlation
Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)
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Cited In (14)
- Derivatives and Fisher information of bivariate copulas
- Conditional independence testing via weighted partial copulas
- Parameter estimation for pair-copula constructions
- Pair-copula constructions for non-Gaussian DAG models
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Selection of vine copulas
- Vine copula approximation: a generic method for coping with conditional dependence
- Default probability estimation via pair copula constructions
- Structure learning in Bayesian networks using regular vines
- Pair-copula constructions of multiple dependence
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Title not available (Why is that?)
- Smooth nonparametric Bernstein vine copulas
- On the weak convergence of the empirical conditional copula under a simplifying assumption
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