Vine copula models with GLM and sparsity
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DOI: 10.1080/03610926.2015.1122061
Abstract: ABSTRACT Vine copula provides a flexible tool to capture asymmetry in modeling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying… read more here.
Keywords: models glm; glm sparsity; vine copula; copula models ... See more keywords