Pair Copula Constructions for Multivariate Discrete Data

By Anastasios Panagiotelis, Claudia Czado, Harry Joe. 2012

217 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/29f024c2e702bd28943ef7ea885d1abaf477397f

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Citations in the corpus

Selection of Vine Copulas (2013, methodology): “Pair copula constructions using D-vines for discrete outcomes were recently developed in [54] together with highly efficient parameter estimation techniques.”
Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, methodology): “As vine copulas, on the other hand, do not have a closed-form copula expression, they should also be ruled out (see Panagiotelis et al. (2012) for an alternative, vine-based approach to modeling multivariate discrete data, which could be used here).”
So Many Variables: Joint Modeling in Community Ecology. (2015, background): “Copulas have made few inroads into ecology to date (although see [45]), in part because flexible approaches that can handle discrete data have only recently been developed [46,47].”
Multivariate Frequency-Severity Regression Models in Insurance (2016, background): “For large values of p, the pair (also known as “vine”) copula approach described in [35] for discrete outcomes seems to be a promising approach.”
Copula-Based Models for Multivariate Discrete Response Data (2013, methodology): “More details and a 3-variate illustration can be found in [48].”
From Dependence to Causation (2016, background): “, 2013), extensions to discrete distributions (Panagiotelis et al., 2012) and identification of equivalences to other well known models, such as Bayesian belief networks and factor models (Kurowicka, 2011).”
Total loss estimation using copula-based regression models (2012, methodology): “Moreover, in the case of higher-dimensional mixtures of discrete and continuous random variables, pair-copula constructions (Aas et al., 2009) can be used (see e.g. Panagiotelis et al. (2012) and Stöber et al. (2012)).”