Testing the simplifying assumption in high-dimensional vine copulas
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Publication:90995
DOI10.1214/22-EJS2051OpenAlexW4304195711WikidataQ114599167 ScholiaQ114599167MaRDI QIDQ90995FDOQ90995
Fabian Spanhel, Malte S. Kurz, Malte S. Kurz, Fabian Spanhel
Publication date: 1 January 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.02338
conditional copulapair-copula constructionpartial vine copulasimplifying assumptiontest for constant conditional correlationvine copula
Cites Work
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
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Cited In (8)
- About tests of the ``simplifying assumption for conditional copulas
- Estimating non-simplified vine copulas using penalized splines
- pacotest
- Approximate Bayesian conditional copulas
- On Kendall's regression
- Testing for equality between conditional copulas given discretized conditioning events
- Conditional empirical copula processes and generalized measures of association
- Title not available (Why is that?)
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