Nonparametric estimation of pair-copula constructions with the empirical pair-copula

Computational Statistics and Data Analysis - Tập 84 - Trang 1-13 - 2015
Ingrid Hobæk Haff1, Johan Segers2
1Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
2ISBA, Université catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium

Tài liệu tham khảo

Aas, 2009, Pair-copula constructions of multiple dependence, Insurance Math. Econom., 44, 182, 10.1016/j.insmatheco.2007.02.001 Acar, 2012, Beyond simplified pair-copula constructions, J. Multivariate Anal., 110, 74, 10.1016/j.jmva.2012.02.001 Bauer, 2012, Pair-copula constructions for non-Gaussian DAG models, Canad. J. Statist., 40, 86, 10.1002/cjs.10131 Bedford, 2001, Probability density decomposition for conditionally dependent random variables modeled by vines, Ann. Math. Artif. Intell., 32, 245, 10.1023/A:1016725902970 Bedford, 2002, Vines—a new graphical model for dependent random variables, Ann. Statist., 30, 1031, 10.1214/aos/1031689016 Berg, 2009, Models for construction of multivariate dependence, Eur. J. Finance, 15, 639, 10.1080/13518470802588767 Brechmann, 2012, Truncated regular vines in high dimensions with application to financial data, Canad. J. Statist., 40, 68, 10.1002/cjs.10141 Brechmann, 2013, Modeling dependence with C- and D-Vine copulas: the R package CDVine, J. Stat. Softw., 52, 10.18637/jss.v052.i03 Bücher, 2010, A note on bootstrap approximations for the empirical copula process, Statist. Probab. Lett., 80, 1925, 10.1016/j.spl.2010.08.021 Deheuvels, 1979, La fonction de dépendance empirique et ses propriétés, Acad. Roy. Belg. Bull. Cl. Sci., 65, 274 Dißmann, 2013, Selecting and estimating regular vine copulae and application to financial returns, Comput. Statist. Data Anal., 59, 52, 10.1016/j.csda.2012.08.010 Fermanian, 2004, Weak convergence of empirical copula processes, Bernoulli, 10, 847, 10.3150/bj/1099579158 Genest, 1995, A semiparametric estimation procedure of dependence parameters in multivariate families of distributions, Biometrika, 82, 543, 10.1093/biomet/82.3.543 Hanea, 2011, Non-parametric Bayesian belief nets versus vines, 281 Hobæk Haff, 2013, Parameter estimation for pair-copula constructions, Bernoulli, 19, 462, 10.3150/12-BEJ413 Hobæk Haff, 2010, On the simplified pair-copula construction—simply useful or too simplistic?, J. Multivariate Anal., 101, 1296, 10.1016/j.jmva.2009.12.001 Hochberg, 1988, A sharper Bonferroni procedure for multiple tests of significance, Biometrika, 75, 800, 10.1093/biomet/75.4.800 Holm, 1979, A simple sequentielly rejective multiple test procedure, Scand. J. Statist., 6, 65 Huang, 2010, Testing conditional independence using maximal nonlinear conditional correlation, Ann. Statist., 38, 2047, 10.1214/09-AOS770 Joe, 1996, Families of m-variate distributions with given margins and m(m−1)/2 dependence parameters, vol. 28, 120 Kolbjørnsen, 2008, D-vine creation of non-Gaussian random field, 399 Kurowicka, 2006 Min, 2010, Bayesian inference for multivariate copulas using pair-copula constructions, J. Financ. Econ., 8, 511 Min, 2011, Bayesian model selection for d-vine pair-copula constructions, Canad. J. Statist., 39, 239, 10.1002/cjs.10098 Rémillard, 2009, Testing for equality between two copulas, J. Multivariate Anal., 100, 377, 10.1016/j.jmva.2008.05.004 Rüschendorf, 1976, Asymptotic distributions of multivariate rank order statistics, Ann. Statist., 4, 912, 10.1214/aos/1176343588 Segers, 2012, Asymptotics of empirical copula processes under nonrestrictive smoothness assumptions, Bernoulli, 18, 764, 10.3150/11-BEJ387 Song, 2009, Testing conditional independence via Rosenblatt transforms, Ann. Statist., 37, 4011, 10.1214/09-AOS704 Stute, 1984, The oscillation behavior of empirical processes: the multivariate case, Ann. Probab., 12, 361, 10.1214/aop/1176993295 Su, 2008, A nonparametric Hellinger metric test for conditional independence, Econometric Theory, 24, 829, 10.1017/S0266466608080341 Tsukahara, 2005, Semiparametric estimation in copula models, Canad. J. Statist., 33, 357, 10.1002/cjs.5540330304 van der Vaart, 2007, Empirical processes indexed by estimated functions, vol. 55, 234 Weiß, G., Scheffer, M., 2012. Smooth nonparametric bernstein vine copulas. http://arxiv.org/abs/1210.2043.