Testing the simplifying assumption in high-dimensional vine copulas
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Cites work
- A review of copula models for economic time series
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- Breaking the curse of dimensionality in nonparametric testing
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- Nonparametric testing for no covariate effects in conditional copulas
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- Partial and average copulas and association measures
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- Semiparametric estimation in copula models
- Simplified pair copula constructions -- limitations and extensions
- Simplified vine copula models: approximations based on the simplifying assumption
- Statistical inference for multivariate residual copula of GARCH models
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- Tail dependence functions and vine copulas
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Cited in
(13)- Testing for equality between conditional copulas given discretized conditioning events
- About tests of the ``simplifying assumption for conditional copulas
- Estimating non-simplified vine copulas using penalized splines
- Approximate Bayesian conditional copulas
- Conditional empirical copula processes and generalized measures of association
- On Kendall's regression
- pacotest
- scientific article; zbMATH DE number 6796087 (Why is no real title available?)
- Derandomized Truncated D-vine Copula Knockoffs with e-values to control the false discovery rate
- Vine copula based structural equation models
- Sampling from conditional distributions of simplified vines
- Tree-based conditional copula estimation
- Parametric estimation of conditional Archimedean copula generators for censored data
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