Beyond simplified pair-copula constructions
From MaRDI portal
Publication:443776
DOI10.1016/j.jmva.2012.02.001zbMath1243.62067OpenAlexW2080936878WikidataQ56865724 ScholiaQ56865724MaRDI QIDQ443776
Elif F. Acar, Johanna G. Nešlehová, Christian Genest
Publication date: 13 August 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.02.001
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (47)
Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing ⋮ A multivariate volatility vine copula model ⋮ Nonparametric testing for no covariate effects in conditional copulas ⋮ Copula diagnostics for asymmetries and conditional dependence ⋮ Regime switches in the dependence structure of multidimensional financial data ⋮ Nonparametric estimation of pair-copula constructions with the empirical pair-copula ⋮ Regular vines with strongly chordal pattern of (conditional) independence ⋮ Estimation of a Copula when a Covariate Affects only Marginal Distributions ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ The shifting dependence dynamics between the G7 stock markets ⋮ A flexible and tractable class of one-factor copulas ⋮ EM algorithm in Gaussian copula with missing data ⋮ Bayesian inference for conditional copulas using Gaussian process single index models ⋮ On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior ⋮ On Kendall's regression ⋮ Simplified pair copula constructions -- limitations and extensions ⋮ On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Partial and average copulas and association measures ⋮ When copulas and smoothing met: an interview with Irène Gijbels ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Model distances for vine copulas in high dimensions ⋮ Estimating non-simplified vine copulas using penalized splines ⋮ Vine copula approximation: a generic method for coping with conditional dependence ⋮ A review of copula models for economic time series ⋮ Semiparametric estimation of conditional copulas ⋮ In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes ⋮ Construction of leading economic index for recession prediction using vine copulas ⋮ Study of partial and average conditional Kendall's tau ⋮ On the weak convergence of the empirical conditional copula under a simplifying assumption ⋮ The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Score tests for covariate effects in conditional copulas ⋮ Vine Copula Specifications for Stationary Multivariate Markov Chains ⋮ Conditional copula simulation for systemic risk stress testing ⋮ Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas ⋮ pyvine: the Python package for regular vine copula modeling, sampling and testing ⋮ On a construction of multivariate distributions given some multidimensional marginals ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond ⋮ Derivatives and Fisher information of bivariate copulas ⋮ Generalized Additive Models for Pair-Copula Constructions ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Approximate Bayesian conditional copulas ⋮ A copula‐based risk aggregation model ⋮ Selection of Vine Copulas ⋮ Truncation of vine copulas using fit indices ⋮ Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Semiparametric estimation of conditional copulas
- Comparison of estimators for pair-copula constructions
- An introduction to copulas.
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Vines -- a new graphical model for dependent random variables.
- Parameter estimation for pair-copula constructions
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Semiparametric estimation in copula models
This page was built for publication: Beyond simplified pair-copula constructions
