Factor copula models for multivariate data

DOI10.1016/J.JMVA.2013.05.001zbMATH Open1280.62070OpenAlexW1996388751WikidataQ56865728 ScholiaQ56865728MaRDI QIDQ391802FDOQ391802

Authors: Pavel Krupskii, Harry Joe 

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

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zbMATH Keywords

factor analysispair-copula constructiontail dependenceconditional independencepartial correlationstail asymmetrytruncated vines

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (71)

• Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
• Modeling Dependence in High Dimensions With Factor Copulas
• A multinomial generalized linear mixed model for clustered competing risks data
• Advances in statistical modeling of spatial extremes
• A general construction of multivariate dependence structures with nonmonotone mappings and its applications
• Hedging cryptos with Bitcoin futures
• Transform MCMC schemes for sampling intractable factor copula models
• Multivariate directional tail-weighted dependence measures
• Copulae: an overview and recent developments
• Max-Linear Competing Factor Models
• Characterizing correlation matrices that admit a clustered factor representation
• Copula modeling from Abe Sklar to the present day
• High-dimensional factor copula models with estimation of latent variables
• Penalized estimation of hierarchical Archimedean copula
• Supermodular and directionally convex comparison results for general factor models
• Generalized simulated method-of-moments estimators for multivariate copulas
• Shrinkage for extreme partial least-squares
• A study of one-factor copula models from a tail dependence perspective
• Factor copula models for right-censored clustered survival data
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Modeling spatial tail dependence with Cauchy convolution processes
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Variational inference for high dimensional structured factor copulas
• Sklar's theorem, copula products, and ordering results in factor models
• On a multivariate copula-based dependence measure and its estimation
• Testing for structural breaks in factor copula models
• Factor copula models for item response data
• Conditional normal extreme-value copulas
• A novel Bayesian approach for latent variable modeling from mixed data with missing values
• Weighted least-squares inference for multivariate copulas based on dependence coefficients
• A multi-year microlevel collective risk model
• Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas
• Partial identification of latent correlations with ordinal data
• Detection of block-exchangeable structure in large-scale correlation matrices
• On a bivariate copula with both upper and lower full-range tail dependence
• Structured factor copula models: theory, inference and computation
• Efficient computation of multivariate empirical distribution functions at the observed values
• New transformations of aggregation functions based on monotone systems of functions
• Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
• Fast inference methods for high-dimensional factor copulas
• High dimensional dynamic stochastic copula models
• Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
• Estimation of spatio-temporal extreme distribution using a quantile factor model
• Copulas Based on Marshall–Olkin Machinery
• Dependent defaults and losses with factor copula models
• An empirical analysis of multivariate copula models
• Asymmetric Copulas and Their Application in Design of Experiments
• Multivariate extreme value copulas with factor and tree dependence structures
• The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
• Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks
• Estimation of multivariate tail quantities
• Generalized Additive Models for Pair-Copula Constructions
• Bayesian Inference for the One-Factor Copula Model
• A flexible and tractable class of one-factor copulas
• Tail-weighted measures of dependence
• Factor tree copula models for item response data
• On a class of circulas: copulas for circular distributions
• 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
• Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
• The bivariate K-finite normal mixture ‘blanket’ copula
• Dependence properties of conditional distributions of some copula models
• Bi-factor and second-order copula models for item response data
• Multivariate dependence modeling based on comonotonic factors
• A generalized beta copula with applications in modeling multivariate long-tailed data
• A monitoring procedure for detecting structural breaks in factor copula models
• A general approach to full-range tail dependence copulas
• Estimation and inference in factor copula models with exogenous covariates
• Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
• Dependence modeling with copulas

Uses Software

• VineCopula

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