User menu

Spline approximations to conditional Archimedean copula

Bibliographic reference Lambert, Philippe. Spline approximations to conditional Archimedean copula. In: Stat, Vol. 3, no.1, p. 200-217 (2014)
Permanent URL
  1. Aas Kjersti, Czado Claudia, Frigessi Arnoldo, Bakken Henrik, Pair-copula constructions of multiple dependence, 10.1016/j.insmatheco.2007.02.001
  2. Abegaz Fentaw, Gijbels Irène, Veraverbeke Noël, Semiparametric estimation of conditional copulas, 10.1016/j.jmva.2012.04.001
  3. Acar Elif F., Craiu Radu V., Yao Fang, Dependence Calibration in Conditional Copulas: A Nonparametric Approach, 10.1111/j.1541-0420.2010.01472.x
  4. Chen, Journal of the American Statistical Association, 8, 69 (1999)
  5. Craiu V. Radu, Sabeti Avideh, In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes, 10.1016/j.jmva.2012.03.010
  6. Eilers Paul H. C., Marx Brian D., Flexible smoothing with B -splines and penalties, 10.1214/ss/1038425655
  7. Genest, The American Statistician, 40, 280 (1986)
  8. Gijbels Irène, Omelka Marek, Veraverbeke Noël, Multivariate and functional covariates and conditional copulas, 10.1214/12-ejs712
  9. Gijbels Irène, Veraverbeke Noël, Omelka Marel, Conditional copulas, association measures and their applications, 10.1016/j.csda.2010.11.010
  10. Haario Heikki, Saksman Eero, Tamminen Johanna, An Adaptive Metropolis Algorithm, 10.2307/3318737
  11. Hafner Christian M., Reznikova Olga, Efficient estimation of a semiparametric dynamic copula model, 10.1016/j.csda.2010.01.013
  12. Held Leonhard, Simultaneous Posterior Probability Statements From Monte Carlo Output, 10.1198/1061860043083
  13. Hofert Marius, Efficiently sampling nested Archimedean copulas, 10.1016/j.csda.2010.04.025
  14. Jullion Astrid, Lambert Philippe, Robust specification of the roughness penalty prior distribution in spatially adaptive Bayesian P-splines models, 10.1016/j.csda.2006.09.027
  15. Lambert Philippe, Archimedean copula estimation using Bayesian splines smoothing techniques, 10.1016/j.csda.2007.01.018
  16. Lambert Philippe, Nonparametric additive location-scale models for interval censored data, 10.1007/s11222-011-9292-6
  17. Lambert Philippe, Vandenhende Fran�ois, A copula-based model for multivariate non-normal longitudinal data: analysis of a dose titration safety study on a new antidepressant, 10.1002/sim.1249
  18. Lang Stefan, Brezger Andreas, Bayesian P-Splines, 10.1198/1061860043010
  19. Nelsen Roger B., An Introduction to Copulas, ISBN:9780387986234, 10.1007/978-1-4757-3076-0
  20. Patton Andrew J., MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*, 10.1111/j.1468-2354.2006.00387.x
  21. Sklar, Publications de l'Institut de Statistique de l'Université de Paris, 8, 229 (1959)
  22. Spiegelhalter David J., Best Nicola G., Carlin Bradley P., van der Linde Angelika, Bayesian measures of model complexity and fit, 10.1111/1467-9868.00353
  23. Vandenhende François, Lambert Philippe, Local dependence estimation using semiparametric archimedean copulas, 10.1002/cjs.5540330305
  24. VERAVERBEKE NOËL, OMELKA MAREK, GIJBELS IRÈNE, Estimation of a Conditional Copula and Association Measures : Estimation of a conditional copula, 10.1111/j.1467-9469.2011.00744.x