Nonparametric estimation of simplified vine copula models: comparison of methods
In the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models, several approaches to nonparametric estimation of vine copulas...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-01-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2017-0007 |