Factor copula models for multivariate data
From MaRDI portal
Publication:391802
DOI10.1016/j.jmva.2013.05.001zbMath1280.62070OpenAlexW1996388751WikidataQ56865728 ScholiaQ56865728MaRDI QIDQ391802
Publication date: 13 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.05.001
factor analysisconditional independencetail dependencepair-copula constructionpartial correlationstail asymmetrytruncated vines
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)
Related Items (56)
Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models ⋮ Dependence properties of conditional distributions of some copula models ⋮ Factor copula models for right-censored clustered survival data ⋮ Parsimonious parameterization of correlation matrices using truncated vines and factor analysis ⋮ Variational inference for high dimensional structured factor copulas ⋮ On a multivariate copula-based dependence measure and its estimation ⋮ Dependent defaults and losses with factor copula models ⋮ A flexible and tractable class of one-factor copulas ⋮ A general approach to full-range tail dependence copulas ⋮ On a bivariate copula with both upper and lower full-range tail dependence ⋮ High dimensional dynamic stochastic copula models ⋮ Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso ⋮ Copula-based measures of reflection and permutation asymmetry and statistical tests ⋮ Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution ⋮ Constraining kernel estimators in semiparametric copula mixture models ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ Estimation of multivariate tail quantities ⋮ Hedging cryptos with Bitcoin futures ⋮ Bi-factor and second-order copula models for item response data ⋮ Partial identification of latent correlations with ordinal data ⋮ Transform MCMC schemes for sampling intractable factor copula models ⋮ Characterizing correlation matrices that admit a clustered factor representation ⋮ High-dimensional factor copula models with estimation of latent variables ⋮ Supermodular and directionally convex comparison results for general factor models ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Copula modeling from Abe Sklar to the present day ⋮ A monitoring procedure for detecting structural breaks in factor copula models ⋮ Tail-weighted measures of dependence ⋮ Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas ⋮ Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks ⋮ Conditional normal extreme-value copulas ⋮ A multi-year microlevel collective risk model ⋮ Testing for structural breaks in factor copula models ⋮ On a class of circulas: copulas for circular distributions ⋮ Multivariate extreme value copulas with factor and tree dependence structures ⋮ Multivariate dependence modeling based on comonotonic factors ⋮ The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure ⋮ Detection of block-exchangeable structure in large-scale correlation matrices ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ Factor tree copula models for item response data ⋮ Weighted least-squares inference for multivariate copulas based on dependence coefficients ⋮ Efficient computation of multivariate empirical distribution functions at the observed values ⋮ Estimation of spatio-temporal extreme distribution using a quantile factor model ⋮ Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics ⋮ Asymmetric Copulas and Their Application in Design of Experiments ⋮ New transformations of aggregation functions based on monotone systems of functions ⋮ The bivariate K-finite normal mixture ‘blanket’ copula ⋮ Generalized Additive Models for Pair-Copula Constructions ⋮ Bayesian Inference for the One-Factor Copula Model ⋮ Sklar's theorem, copula products, and ordering results in factor models ⋮ A novel Bayesian approach for latent variable modeling from mixed data with missing values ⋮ Fast inference methods for high-dimensional factor copulas ⋮ Modeling spatial tail dependence with Cauchy convolution processes ⋮ Factor copula models for item response data ⋮ Structured factor copula models: theory, inference and computation ⋮ Copulas Based on Marshall–Olkin Machinery
Uses Software
Cites Work
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Tail order and intermediate tail dependence of multivariate copulas
- Tail dependence functions and vine copulas
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
- Copula Structure Analysis
- Truncated regular vines in high dimensions with application to financial data
- Structure de dépendance des lois de valeurs extrêmes bivariées
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Factor copula models for multivariate data
