Estimating non-simplified vine copulas using penalized splines
From MaRDI portal
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Testing the simplifying assumption in high-dimensional vine copulas
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- The partial copula: properties and associated dependence measures
- Simplified pair copula constructions -- limitations and extensions
- Time-dependent copulas
- Semiparametric estimation of conditional copulas
- Beyond simplified pair-copula constructions
- Generalized additive models for conditional dependence structures
- A comparison of generalized cross validation and modified maximum likelihood for estimating the parameters of a stochastic process
- An introduction to copulas.
- Conditional copulas, association measures and their applications
- On the simplified pair-copula construction -- simply useful or too simplistic?
- A comparison of GCV and GML for choosing the smoothing parameter in the generalized spline smoothing problem
- Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
- Selection criteria for scatterplot smoothers
- Vines -- a new graphical model for dependent random variables.
- Multivariate and functional covariates and conditional copulas
- Simplified vine copula models: approximations based on the simplifying assumption
- Approximating conditional distribution functions using dimension reduction
- Flexible Copula Density Estimation with Penalized Hierarchical B-splines
- Estimation of a Conditional Copula and Association Measures
- Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Dependence Modeling with Copulas
- Truncated regular vines in high dimensions with application to financial data
- ON SEMIPARAMETRIC REGRESSION WITH O'SULLIVAN PENALIZED SPLINES
- An empirical analysis of multivariate copula models
- Regression and time series model selection in small samples
- Estimation in generalized linear models with random effects
- Semiparametric Regression
- A nondegenerate Vuong test
- Fast Stable Restricted Maximum Likelihood and Marginal Likelihood Estimation of Semiparametric Generalized Linear Models
- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
This page was built for publication: Estimating non-simplified vine copulas using penalized splines