Fast inference methods for high-dimensional factor copulas

DOI10.1515/demo-2022-0117zbMath1498.62104OpenAlexW4295074275MaRDI QIDQ2097684

Pavel Krupskii, Alex Verhoijsen

Publication date: 14 November 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0117

zbMATH Keywords

high-dimensional inferencecomputational statisticsfactor copulasfast inference

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Uses Software

• FinTS
• QRM

Cites Work

• Factor copula models for multivariate data
• Variational inference for high dimensional structured factor copulas
• High dimensional dynamic stochastic copula models
• Structured factor copula models: theory, inference and computation
• Bayesian Inference for the One-Factor Copula Model
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Forecasting Using Principal Components From a Large Number of Predictors
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Determining the Number of Factors in Approximate Factor Models
• Analysis of Financial Time Series
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