Bayesian inference for conditional copulas using Gaussian Process single index models
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DOI: 10.1016/j.csda.2018.01.013
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- Lu Lu & Sujit Ghosh, 2024. "Nonparametric Estimation of Conditional Copula Using Smoothed Checkerboard Bernstein Sieves," Mathematics, MDPI, vol. 12(8), pages 1-17, April.
- Grazian, Clara & Dalla Valle, Luciana & Liseo, Brunero, 2022. "Approximate Bayesian conditional copulas," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
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Keywords
Conditional copula; Cross validated marginal likelihood; Gaussian Process; Simplifying assumption; Single index model;All these keywords.
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