Factor copula models for multivariate data
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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- Copula structure analysis
- Pair-copula constructions of multiple dependence
- 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
- Selecting and estimating regular vine copulae and application to financial returns
- Structure de dépendance des lois de valeurs extrêmes bivariées
- Tail dependence functions and vine copulas
- Tail order and intermediate tail dependence of multivariate copulas
- Truncated regular vines in high dimensions with application to financial data
- Vine copulas with asymmetric tail dependence and applications to financial return data
Cited in
(76)- Transform MCMC schemes for sampling intractable factor copula models
- Max-Linear Competing Factor Models
- Advances in statistical modeling of spatial extremes
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- A general construction of multivariate dependence structures with nonmonotone mappings and its applications
- Copulae: an overview and recent developments
- 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
- The bivariate K-finite normal mixture ‘blanket’ copula
- Hedging cryptos with Bitcoin futures
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Modeling Dependence in High Dimensions With Factor Copulas
- Multivariate directional tail-weighted dependence measures
- Characterizing correlation matrices that admit a clustered factor representation
- Generalized simulated method-of-moments estimators for multivariate copulas
- Shrinkage for extreme partial least-squares
- A monitoring procedure for detecting structural breaks in factor copula models
- A multinomial generalized linear mixed model for clustered competing risks data
- A study of one-factor copula models from a tail dependence perspective
- Constraining kernel estimators in semiparametric copula mixture models
- A multi-year microlevel collective risk model
- Dependence properties of conditional distributions of some copula models
- Detection of block-exchangeable structure in large-scale correlation matrices
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- On a multivariate copula-based dependence measure and its estimation
- A flexible and tractable class of one-factor copulas
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Factor copula models for replicated spatial data
- An empirical analysis of multivariate copula models
- Estimation of multivariate tail quantities
- Variational inference for high dimensional structured factor copulas
- Trivariate Burr-III copula with applications to income data
- Bayesian Inference for the One-Factor Copula Model
- New transformations of aggregation functions based on monotone systems of functions
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- Bi-factor and second-order copula models for item response data
- Factor copula models for right-censored clustered survival data
- Estimation of spatio-temporal extreme distribution using a quantile factor model
- On a class of circulas: copulas for circular distributions
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Conditional normal extreme-value copulas
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Generalized Additive Models for Pair-Copula Constructions
- Factor copula approaches for assessing spatially dependent high-dimensional risks
- Assessing high-risk scenarios by full-range tail dependence copulas
- Sklar's theorem, copula products, and ordering results in factor models
- On a bivariate copula with both upper and lower full-range tail dependence
- Copula-based measures of reflection and permutation asymmetry and statistical tests
- Dependent defaults and losses with factor copula models
- Linear factor copula models and their properties
- A novel Bayesian approach for latent variable modeling from mixed data with missing values
- Efficient computation of multivariate empirical distribution functions at the observed values
- Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Fast inference methods for high-dimensional factor copulas
- Structured factor copula models: theory, inference and computation
- Modeling spatial tail dependence with Cauchy convolution processes
- Tail-weighted measures of dependence
- High dimensional dynamic stochastic copula models
- Dependence modeling with copulas
- Testing for structural breaks in factor copula models
- Multivariate dependence modeling based on comonotonic factors
- Multivariate extreme value copulas with factor and tree dependence structures
- A general approach to full-range tail dependence copulas
- Asymmetric copulas and their application in design of experiments
- Copulas based on Marshall-Olkin machinery
- Factor copula models for mixed data
- Factor tree copula models for item response data
- Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
- Partial identification of latent correlations with ordinal data
- Estimation and inference in factor copula models with exogenous covariates
- Factor copula models for item response data
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