40 citations · 40 across the 3 of their papers we have counts for
3 papers
Distribution free MMD tests for model selection with estimated parameters
Florian Brück, Jean-David Fermanian, Aleksey Min
There exist some testing procedures based on the maximum mean discrepancy (MMD) to address the challenge of model specification. However, they ignore the presence of estimated para…
Testing for equality between conditional copulas given discretized conditioning events
Alexis Derumigny, Jean-David Fermanian, Aleksey Min
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the consta…
Stationary vine copula models for multivariate time series
Thomas Nagler, Daniel Krüger, Aleksey Min
Multivariate time series exhibit two types of dependence: across variables and across time points. Vine copulas are graphical models for the dependence and can conveniently capture…