On the simplified pair-copula construction -- simply useful or too simplistic?
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Publication:962223
DOI10.1016/J.JMVA.2009.12.001zbMATH Open1184.62079DBLPjournals/ma/HaffAF10OpenAlexW1984931822WikidataQ56865723 ScholiaQ56865723MaRDI QIDQ962223FDOQ962223
Authors: Ingrid Hobæk Haff, Kjersti Aas, Arnoldo Frigessi 
Publication date: 6 April 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/34736
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Cited In (82)
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Pair copula constructions for multivariate discrete data
- Comparison of estimators for pair-copula constructions
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- About tests of the ``simplifying assumption for conditional copulas
- Estimating non-simplified vine copulas using penalized splines
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Simplified R-vine based forward regression
- Variational inference for high dimensional structured factor copulas
- Estimation of a copula when a covariate affects only marginal distributions
- Parameter estimation for pair-copula constructions
- Score tests for covariate effects in conditional copulas
- Model distances for vine copulas in high dimensions
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Vine copula specifications for stationary multivariate Markov chains
- Mixture of D-vine copulas for modeling dependence
- Pair-copula constructions for non-Gaussian DAG models
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Title not available (Why is that?)
- Conditional copula simulation for systemic risk stress testing
- Nonparametric estimation of copula regression models with discrete outcomes
- Simplified vine copula models: approximations based on the simplifying assumption
- On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
- Selection of vine copulas
- Specification of informative prior distributions for multinomial models using vine copulas
- A copula-based risk aggregation model
- Truncated regular vines in high dimensions with application to financial data
- Bayesian model selection for D-vine pair-copula constructions
- Nonparametric C- and D-vine-based quantile regression
- Copula-based Black-Litterman portfolio optimization
- Scenario aggregation method for portfolio expectile optimization
- Data-driven polynomial chaos expansion for machine learning regression
- Sampling, conditionalizing, counting, merging, searching regular vines
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Default probability estimation via pair copula constructions
- Structure learning in Bayesian networks using regular vines
- Copula and composite quantile regression-based estimating equations for longitudinal data
- Generalized Additive Models for Pair-Copula Constructions
- Selecting and estimating regular vine copulae and application to financial returns
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- D-vine copula based quantile regression
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Testing the simplifying assumption in high-dimensional vine copulas
- Approximate Bayesian conditional copulas
- Estimation of copula models with discrete margins via Bayesian data augmentation
- Modelling credit card exposure at default using vine copula quantile regression
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
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- Simplified pair copula constructions -- limitations and extensions
- Beyond simplified pair-copula constructions
- Time series with infinite-order partial copula dependence
- On the weak convergence of the empirical conditional copula under a simplifying assumption
- Testing for equality between conditional copulas given discretized conditioning events
- Conditional empirical copula processes and generalized measures of association
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Partial and average copulas and association measures
- Measuring association and dependence between random vectors
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- A mixture of regular vines for multiple dependencies
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- Spatial pair-copula model of grade for an anisotropic gold deposit
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- (sfi)\(^2\) statistics for innovation -- the experience of the Oslo centre in industrial statistics
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Copula diagnostics for asymmetries and conditional dependence
- Study of partial and average conditional Kendall's tau
- Robust and efficient estimating equations for longitudinal data partial linear models and its applications
- Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Technical and allocative inefficiency in production systems: a vine copula approach
- A numerical strategy to evaluate performance of predictive scores via a copula-based approach
- Pair-copula models for analyzing family data
- Median and quantile conditional copulas
- The shifting dependence dynamics between the G7 stock markets
- On Kendall's regression
- Pair copula constructions for insurance experience rating
- Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients
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