Mixture of D-vine copulas for modeling dependence
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Publication:1800071
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Cites work
- A parameterization of positive definite matrices in terms of partial correlation vines
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An entropy criterion for assessing the number of clusters in a mixture model
- An introduction to copulas.
- Comparison of semiparametric and parametric methods for estimating copulas
- Distribution-free continuous Bayesian belief nets
- Estimating the dimension of a model
- Finite mixture models
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Goodness-of-fit tests for copulas: A review and a power study
- Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
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- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Mixture models: theory, geometry and applications
- Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Multivariate survival distributions
- On the convergence properties of the EM algorithm
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Pair copula constructions for multivariate discrete data
- Pair-copula constructions for non-Gaussian DAG models
- Pair-copula constructions of multiple dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Remarks on a Multivariate Transformation
- Statistical Applications of the Multivariate Skew Normal Distribution
- Tail dependence functions and vine copulas
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vines -- a new graphical model for dependent random variables.
Cited in
(18)- D-vine copula based quantile regression
- Bayesian model selection of regular vine copulas
- EM algorithms for estimating the Bernstein copula
- Vine copulas for mixed data: multi-view clustering for mixed data beyond meta-Gaussian dependencies
- Analyzing dependent data with vine copulas. A practical guide with R
- The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
- A copula-based GLMM model for multivariate longitudinal data with mixed-types of responses
- A mixture of regular vines for multiple dependencies
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Semiparametric bivariate modelling with flexible extremal dependence
- Constraining kernel estimators in semiparametric copula mixture models
- Vine copula statistical disclosure control for mixed-type data
- A mixture of canonical vine copula-GARCH approach for modeling dependence of European electricity markets
- CD-vine model for capturing complex dependence
- Modeling dependence based on mixture copulas and its application in risk management
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Copulas and deep learning: a review
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