Estimating non-simplified vine copulas using penalized splines
From MaRDI portal
Publication:1702016
DOI10.1007/S11222-017-9737-7zbMATH Open1384.62170arXiv1603.01424OpenAlexW3105827636MaRDI QIDQ1702016FDOQ1702016
Fabian Spanhel, Christian Schellhase
Publication date: 27 February 2018
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: Vine copulas (or pair-copula constructions) have become an important tool for high-dimensional dependence modeling. Typically, so called simplified vine copula models are estimated where bivariate conditional copulas are approximated by bivariate unconditional copulas. We present the first non-parametric estimator of a non-simplified vine copula that allows for varying conditional copulas using penalized hierarchical B-splines. Throughout the vine copula, we test for the simplifying assumption in each edge, establishing a data-driven non-simplified vine copula estimator. To overcome the curse of dimensionality, we approximate conditional copulas with more than one conditioning argument by a conditional copula with the first principal component as conditioning argument. An extensive simulation study is conducted, showing a substantial improvement in the out-of-sample Kullback-Leibler divergence if the null hypothesis of a simplified vine copula can be rejected. We apply our method to the famous uranium data and present a classification of an eye state data set, demonstrating the potential benefit that can be achieved when conditional copulas are modeled.
Full work available at URL: https://arxiv.org/abs/1603.01424
Recommendations
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
- Simplified vine copula models: approximations based on the simplifying assumption
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Truncated regular vines in high dimensions with application to financial data
Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Cites Work
- Semiparametric Regression
- Title not available (Why is that?)
- 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 smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
- Dependence Modeling with Copulas
- ON SEMIPARAMETRIC REGRESSION WITH O'SULLIVAN PENALIZED SPLINES
- Regression and time series model selection in small samples
- Fast Stable Restricted Maximum Likelihood and Marginal Likelihood Estimation of Semiparametric Generalized Linear Models
- A comparison of GCV and GML for choosing the smoothing parameter in the generalized spline smoothing problem
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Truncated regular vines in high dimensions with application to financial data
- Title not available (Why is that?)
- Estimation in generalized linear models with random effects
- An introduction to copulas.
- Vines -- a new graphical model for dependent random variables.
- Simplified vine copula models: approximations based on the simplifying assumption
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Flexible copula density estimation with penalized hierarchical B-splines
- The partial copula: properties and associated dependence measures
- An empirical analysis of multivariate copula models
- Simplified pair copula constructions -- limitations and extensions
- Beyond simplified pair-copula constructions
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Time-dependent copulas
- Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
- Estimation of a conditional copula and association measures
- Selection criteria for scatterplot smoothers
- Title not available (Why is that?)
- A comparison of generalized cross validation and modified maximum likelihood for estimating the parameters of a stochastic process
- Approximating conditional distribution functions using dimension reduction
- Conditional copulas, association measures and their applications
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Semiparametric estimation of conditional copulas
- Multivariate and functional covariates and conditional copulas
- A nondegenerate Vuong test
- Generalized additive models for conditional dependence structures
Cited In (9)
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- About tests of the ``simplifying assumption for conditional copulas
- Estimating standard errors in regular vine copula models
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Generalized information matrix tests for copulas
- Copulae: an overview and recent developments
- Testing the simplifying assumption in high-dimensional vine copulas
- Pair programming with ChatGPT for sampling and estimation of copulas
- Conditional empirical copula processes and generalized measures of association
Uses Software
This page was built for publication: Estimating non-simplified vine copulas using penalized splines
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1702016)
