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math.ST2025
Properties of stepwise parameter estimation in high-dimensional vine copulas
Jana Gauss, Thomas Nagler
The increasing use of vine copulas in high-dimensional settings, where the number of parameters is often of the same order as the sample size, calls for asymptotic theory beyond th…
math.ST2024
Asymptotics for estimating a diverging number of parameters -- with and without sparsity
Jana Gauss, Thomas Nagler
We develop a general asymptotic theory for estimating equations whose dimension diverges with the sample size. For both unpenalized and sparse penalized problems, we establish popu…