Selection of vine copulas
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 4211299 (Why is no real title available?)
- scientific article; zbMATH DE number 6458332 (Why is no real title available?)
- A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An empirical analysis of multivariate copula models
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Bayesian model selection for D-vine pair-copula constructions
- Beyond simplified pair-copula constructions
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- Comparison of estimators for pair-copula constructions
- Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
- Efficient Bayesian inference for stochastic time-varying copula models
- Equation of state calculations by fast computing machines
- Fast large-sample goodness-of-fit tests for copulas
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Handbook of Markov Chain Monte Carlo
- Introduction to algorithms.
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Markov Chains and Stochastic Stability
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
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- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Monte Carlo sampling methods using Markov chains and their applications
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- On the simplified pair-copula construction -- simply useful or too simplistic?
- PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
- Pair copula constructions for multivariate discrete data
- Pair-copula constructions for non-Gaussian DAG models
- Pair-copula constructions of multiple dependence
- Parameter estimation for pair-copula constructions
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Regime switches in the dependence structure of multidimensional financial data
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- 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
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- Truncated regular vines in high dimensions with application to financial data
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- Vine copulas with asymmetric tail dependence and applications to financial return data
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Cited in
(34)- Statistical arbitrage with vine copulas
- Vines -- a new graphical model for dependent random variables.
- Model distances for vine copulas in high dimensions
- Sequential Bayesian model selection of regular vine copulas
- Multivariate dynamic copula construction based on a vine structure
- Vine copula specifications for stationary multivariate Markov chains
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Conditional copula simulation for systemic risk stress testing
- Copula diagnostics for asymmetries and conditional dependence
- Vine copula regression for observational studies
- Spatial composite likelihood inference using local C-vines
- Model selection for discrete regular vine copulas
- Vine copula approximation: a generic method for coping with conditional dependence
- R-vine models for spatial time series with an application to daily mean temperature
- Common sampling orders of regular vines with application to model selection
- Copula modelling with penalized complexity priors: the bivariate case
- Bayesian model selection for D-vine pair-copula constructions
- Univariate conditioning of vine copulas
- On the connection between cherry-tree copulas and truncated R-vine copulas.
- A geometric investigation into the tail dependence of vine copulas
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- Regime switches in the dependence structure of multidimensional financial data
- SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
- M-vine decomposition and VAR(1) models
- Truncation of vine copulas using fit indices
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- scientific article; zbMATH DE number 6458332 (Why is no real title available?)
- Smooth nonparametric Bernstein vine copulas
- Vines inference
- Vine copula models with GLM and sparsity
- A review of multivariate distributions for count data derived from the Poisson distribution
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
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