Generalized additive models for conditional dependence structures

DOI10.1016/j.jmva.2015.07.003zbMath1328.62390OpenAlexW3121519025MaRDI QIDQ746876

Thibault Vatter, Valérie Chavez-Demoulin

Publication date: 21 October 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.07.003

zbMATH Keywords

copulasemiparametric modelingregression splinesconditional rank correlationsintraday financial returnspenalized log-likelihood

Mathematics Subject Classification ID

Related Items (13)

Nonstationary modelling of tail dependence of two subjects' concentration ⋮ Generalized Link-Based Additive Survival Models with Informative Censoring ⋮ Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation ⋮ Bivariate copula additive models for location, scale and shape ⋮ Bayesian inference for conditional copulas using Gaussian process single index models ⋮ Copula link-based additive models for bivariate time-to-event outcomes with general censoring scheme ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Estimating non-simplified vine copulas using penalized splines ⋮ Copula Link-Based Additive Models for Right-Censored Event Time Data ⋮ Robust fitting for generalized additive models for location, scale and shape ⋮ Generalized Additive Models for Pair-Copula Constructions ⋮ Approximate Bayesian conditional copulas ⋮ Conditional empirical copula processes and generalized measures of association

Uses Software

• R
• gamair
• QRM

Cites Work

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