Simplified R-vine based forward regression
From MaRDI portal
Publication:829728
DOI10.1016/j.csda.2020.107091OpenAlexW3088036072MaRDI QIDQ829728
Dorota Kurowicka, Kailun Zhu, Gabriela F. Nane
Publication date: 6 May 2021
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2020.107091
Related Items (2)
Nonparametric C- and D-vine-based quantile regression ⋮ Modelling credit card exposure at default using vine copula quantile regression
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Selecting and estimating regular vine copulae and application to financial returns
- D-vine copula based quantile regression
- Simplified pair copula constructions -- limitations and extensions
- Conditional copulas, association measures and their applications
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Vines -- a new graphical model for dependent random variables.
- Prediction based on conditional distributions of vine copulas
- Common sampling orders of regular vines with application to model selection
- Conditional copula simulation for systemic risk stress testing
- Sampling, conditionalizing, counting, merging, searching regular vines
- Estimation of a Conditional Copula and Association Measures
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Copula-Based Regression Estimation and Inference
This page was built for publication: Simplified R-vine based forward regression