Estimating non-simplified vine copulas using penalized splines
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Publication:1702016
DOI10.1007/s11222-017-9737-7zbMath1384.62170arXiv1603.01424OpenAlexW3105827636MaRDI QIDQ1702016
Fabian Spanhel, Christian Schellhase
Publication date: 27 February 2018
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.01424
Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (5)
Estimation of high-order moment-independent importance measures for Shapley value analysis ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Testing the simplifying assumption in high-dimensional vine copulas ⋮ Generalized information matrix tests for copulas ⋮ Conditional empirical copula processes and generalized measures of association
Uses Software
Cites Work
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