Selection of vine copulas
From MaRDI portal
Publication:2849522
DOI10.1007/978-3-642-35407-6_2zbMATH Open1273.62110OpenAlexW156493003MaRDI QIDQ2849522FDOQ2849522
Authors: Claudia Czado, Eike Christian Brechmann, Lutz Gruber 
Publication date: 20 September 2013
Published in: Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-35407-6_2
Recommendations
Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)
Cites Work
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Truncated regular vines in high dimensions with application to financial data
- Title not available (Why is that?)
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Markov Chains and Stochastic Stability
- 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
- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Bayesian model selection for D-vine pair-copula constructions
- Title not available (Why is that?)
- Handbook of Markov Chain Monte Carlo
- An empirical analysis of multivariate copula models
- Introduction to algorithms.
- Simplified pair copula constructions -- limitations and extensions
- Beyond simplified pair-copula constructions
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Title not available (Why is that?)
- Monte Carlo sampling methods using Markov chains and their applications
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Fast large-sample goodness-of-fit tests for copulas
- Equation of state calculations by fast computing machines
- Efficient Bayesian inference for stochastic time-varying copula models
- PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
- Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
- Sequential Bayesian model selection of regular vine copulas
- Pair-copula constructions for non-Gaussian DAG models
- A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
- Comparison of estimators for pair-copula constructions
- Regime switches in the dependence structure of multidimensional financial data
- Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
Cited In (33)
- Statistical arbitrage with vine copulas
- Vines -- a new graphical model for dependent random variables.
- Multivariate dynamic copula construction based on a vine structure
- Model distances for vine copulas in high dimensions
- Sequential Bayesian model selection of regular vine copulas
- Vine copula specifications for stationary multivariate Markov chains
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Copula diagnostics for asymmetries and conditional dependence
- Conditional copula simulation for systemic risk stress testing
- Vine copula regression for observational studies
- Spatial composite likelihood inference using local C-vines
- Model selection for discrete regular vine copulas
- R-vine models for spatial time series with an application to daily mean temperature
- Vine copula approximation: a generic method for coping with conditional dependence
- Common sampling orders of regular vines with application to model selection
- Copula modelling with penalized complexity priors: the bivariate case
- Bayesian model selection for D-vine pair-copula constructions
- On the connection between cherry-tree copulas and truncated R-vine copulas.
- Univariate conditioning of vine copulas
- A geometric investigation into the tail dependence of vine copulas
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- Regime switches in the dependence structure of multidimensional financial data
- M-vine decomposition and VAR(1) models
- Truncation of vine copulas using fit indices
- Title not available (Why is that?)
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Smooth nonparametric Bernstein vine copulas
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Vines inference
- A review of multivariate distributions for count data derived from the Poisson distribution
- Vine copula models with GLM and sparsity
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
Uses Software
This page was built for publication: Selection of vine copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2849522)
