Estimating Archimedean copulas in high dimensions
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Publication:2914946
Recommendations
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Cites work
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Cited in
(23)- Copula shrinkage and portfolio allocation in ultra-high dimensions
- An algorithm for constructing high dimensional distributions from distributions of lower dimension
- Fitting high-dimensional copulae to data
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method
- STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
- scientific article; zbMATH DE number 5125574 (Why is no real title available?)
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Distributionally robust fixed interval scheduling on parallel identical machines under uncertain finishing times
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- GeD spline estimation of multivariate Archimedean copulas
- Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
- Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
- Parameter estimation of some Archimedean copulas based on minimum Cramér-von-Mises distance
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
- scientific article; zbMATH DE number 5973798 (Why is no real title available?)
- How to improve the fit of Archimedean copulas by means of transforms
- Inference on Archimedean copulas using mixtures of Pólya trees
- scientific article; zbMATH DE number 6458325 (Why is no real title available?)
- Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution
- On the structure and estimation of hierarchical Archimedean copulas
- scientific article; zbMATH DE number 7712507 (Why is no real title available?)
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