25 citations · 76 across the 4 of their papers we have counts for
4 papers
Testing the simplifying assumption in high-dimensional vine copulas
Malte S. Kurz, Fabian Spanhel
Testing the simplifying assumption in high-dimensional vine copulas is a difficult task. Tests must be based on estimated observations and check constraints on high-dimensional dis…
Estimating Non-Simplified Vine Copulas Using Penalized Splines
Christian Schellhase, Fabian Spanhel
Vine copulas (or pair-copula constructions) have become an important tool for high-dimensional dependence modeling. Typically, so called simplified vine copula models are estimated…
The partial copula: Properties and associated dependence measures
Fabian Spanhel, Malte S. Kurz
The partial correlation coefficient is a commonly used measure to assess the conditional dependence between two random variables. We provide a thorough explanation of the partial c…
The partial vine copula: A dependence measure and approximation based on the simplifying assumption
Fabian Spanhel, Malte S. Kurz
Simplified vine copulas (SVCs), or pair-copula constructions, have become an important tool in high-dimensional dependence modeling. So far, specification and estimation of SVCs ha…