Fast inference methods for high-dimensional factor copulas

DOI10.1515/DEMO-2022-0117zbMATH Open1498.62104OpenAlexW4295074275MaRDI QIDQ2097684FDOQ2097684

Authors: Alex Verhoijsen, Pavel Krupskii 

Publication date: 14 November 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0117

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zbMATH Keywords

high-dimensional inferencecomputational statisticsfactor copulasfast inference

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Analysis of Financial Time Series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• Title not available (Why is that?)
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Factor copula models for multivariate data
• Title not available (Why is that?)
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Structured factor copula models: theory, inference and computation
• High dimensional dynamic stochastic copula models
• Bayesian Inference for the One-Factor Copula Model
• Variational inference for high dimensional structured factor copulas

Cited In (6)

• Variational inference for high dimensional structured factor copulas
• Structured factor copula models: theory, inference and computation
• STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
• Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
• Factor copula models for multivariate data
• Estimation and inference in factor copula models with exogenous covariates

Uses Software

• FinTS
• QRM

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