114 citations · 115 across the 7 of their papers we have counts for
7 papers
The asymptotic effect of tuning parameters
Ingrid Dæhlen, Nils Lid Hjort, Ingrid Hobæk Haff
Tuning parameters are parameters involved in an estimating procedure for the purpose of reducing the risk of some other estimator. Examples include the degree of penalization in pe…
Stepwise Variational Inference with Vine Copulas
Elisabeth Griesbauer, Leiv Rønneberg, Arnoldo Frigessi +2
We propose stepwise variational inference (VI) with vine copulas: a universal VI procedure that combines vine copulas with a novel stepwise estimation procedure of the variational…
TVineSynth: A Truncated C-Vine Copula Generator of Synthetic Tabular Data to Balance Privacy and Utility
Elisabeth Griesbauer, Claudia Czado, Arnoldo Frigessi +1
We propose TVineSynth, a vine copula based synthetic tabular data generator, which is designed to balance privacy and utility, using the vine tree structure and its truncation to d…
Generalised logistic regression with vine copulas
Ingrid Hobæk Haff, Simon Boge Brant, Haakon Bakka
We propose a generalisation of the logistic regression model, that aims to account for non-linear main effects and complex interactions, while keeping the model inherently explaina…
One family, six distributions -- A flexible model for insurance claim severity
Erik Bølviken, Ingrid Hobæk Haff
We propose a new class of claim severity distributions with six parameters, that has the standard two-parameter distributions, the log-normal, the log-Gamma, the Weibull, the Gamma…
Parameter estimation for pair-copula constructions
Ingrid Hobæk Haff
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structur…
Nonparametric estimation of pair-copula constructions with the empirical pair-copula
Ingrid Hobaek Haff, Johan Segers
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is…