Selection of mixed copula for association modeling with tied observations
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Publication:2111315
Recommendations
- Copula modeling for data with ties
- Selection of mixed copula model via penalized likelihood
- Some copula inference procedures adapted to the presence of ties
- Time-Varying Mixture Copula Models with Copula Selection
- Association measures and estimation of copula parameters
- Estimation of a conditional copula and association measures
- Copula analysis of mixture models
- Semiparametric estimation and model selection for conditional mixture copula models
- Conditional empirical copula processes and generalized measures of association
- scientific article; zbMATH DE number 7640335
Cites work
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas.
- Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
- Copula modeling for data with ties
- Dependence modeling with copulas
- Detecting financial data dependence structure by averaging mixture copulas
- Goodness-of-fit tests for copulas: A review and a power study
- Heavy tails and copulas. Topics in dependence modelling in economics and finance
- Integrative interaction analysis using threshold gradient directed regularization
- Nearly unbiased variable selection under minimax concave penalty
- Selection of mixed copula model via penalized likelihood
- Survival analysis with correlated endpoints. Joint frailty-copula models
- Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
- Valid post-selection inference
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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