Vine copula approximation: a generic method for coping with conditional dependence

DOI10.1007/S11222-017-9727-9zbMATH Open1384.62171OpenAlexW2581651976MaRDI QIDQ1702298FDOQ1702298

Publication date: 28 February 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-017-9727-9

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Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

Algorithm AS 136: A K-Means Clustering Algorithm
Pair-copula constructions of multiple dependence
Selecting and estimating regular vine copulae and application to financial returns
Dependence Modeling with Copulas
Title not available (Why is that?)
Title not available (Why is that?)
Probability density decomposition for conditionally dependent random variables modeled by vines
Title not available (Why is that?)
Pair copula constructions for multivariate discrete data
Nonparametric estimation of pair-copula constructions with the empirical pair-copula
Vines -- a new graphical model for dependent random variables.
Parameter estimation for pair-copula constructions
Flexible pair-copula estimation in D-vines using bivariate penalized splines
Simplified pair copula constructions -- limitations and extensions
Design-adaptive Nonparametric Regression
Beyond simplified pair-copula constructions
Estimation of a conditional copula and association measures
A Review and Comparison of Bandwidth Selection Methods for Kernel Regression
Iterated nonlinear maps and Hilbert’s projective metric. II
Probability Theory
Complementary pivot theory of mathematical programming
Entropy minimization, \(DAD\) problems, and doubly stochastic kernels
Approximation of density functions by sequences of exponential families
Title not available (Why is that?)
Conditional copulas, association measures and their applications
Estimating the tail-dependence coefficient: properties and pitfalls
Dependence Calibration in Conditional Copulas: A Nonparametric Approach
Inequality Constrained Least-Squares Estimation
On the construction of minimum information bivariate copula families
Copula directed acyclic graphs
Vine-copula GARCH model with dynamic conditional dependence

Cited In (9)

Multivariate dynamic copula construction based on a vine structure
Analyzing dependent data with vine copulas. A practical guide with R
Estimating standard errors in regular vine copula models
Specification of informative prior distributions for multinomial models using vine copulas
Title not available (Why is that?)
Copulae: an overview and recent developments
Univariate conditioning of vine copulas
A vine copula approach for regression analysis of bivariate current status data with informative censoring
Title not available (Why is that?)

Uses Software

AS 136
CopulaModel

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