Linear B-spline copulas with applications to nonparametric estimation of copulas
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References listed on IDEAS
- Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering.
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- Göran Kauermann & Christian Schellhase & David Ruppert, 2013. "Flexible Copula Density Estimation with Penalized Hierarchical B-splines," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 685-705, December.
- Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016.
"Default probability estimation via pair copula constructions,"
European Journal of Operational Research,
Elsevier, vol. 249(1), pages 298-311.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudio Manelli & Claudia Tarantola, 2013. "Default Probability Estimation via Pair Copula Constructions," DEM Working Papers Series 048, University of Pavia, Department of Economics and Management.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
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"Out-of-sample comparison of copula specifications in multivariate density forecasts,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 34(9), pages 1596-1609, September.
- Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
- Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cees Diks & Valentyn Panchenko & Dick Van Dijk, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Post-Print hal-00732675, HAL.
- Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales.
- repec:eee:csdana:v:112:y:2017:i:c:p:99-113 is not listed on IDEAS
- Nadja Klein & Thomas Kneib & Giampiero Marra & Rosalba Radice & Slawa Rokicki & Mark E. McGovern, 2018. "Mixed Binary-Continuous Copula Regression Models with Application to Adverse Birth Outcomes," CHaRMS Working Papers 18-06, Centre for HeAlth Research at the Management School (CHaRMS).
- Qu, Leming & Yin, Wotao, 2012. "Copula density estimation by total variation penalized likelihood with linear equality constraints," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 384-398.
- Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
- Hernández-Lobato, José Miguel & Suárez, Alberto, 2011. "Semiparametric bivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2038-2058, June.
- Giampiero Marra & Rosalba Radice & Till Bärnighausen & Simon N. Wood & Mark E. McGovern, 2017.
"A Simultaneous Equation Approach to Estimating HIV Prevalence With Nonignorable Missing Responses,"
Journal of the American Statistical Association,
Taylor & Francis Journals, vol. 112(518), pages 484-496, April.
- Giampiero Marra & Rosalba Radice & Till Bärnighausen & Simon N. Wood & Mark E. McGovern, 2016. "A Simultaneous Equation Approach to Estimating HIV Prevalence with Non-Ignorable Missing Responses," Economics Working Papers 16-02, Queen's Management School, Queen's University Belfast.
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