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stat.ME2016
Generalized Additive Models for Pair-Copula Constructions
Thibault Vatter, Thomas Nagler
Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this paper, we use generalized additive models to extend them by allowing…
stat.CO2016★ 4 cited
kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities
Thomas Nagler
We describe the R package kdecopula (current version 0.9.0), which provides fast implementations of various kernel estimators for the copula density. Due to a variety of available…