High Performance Algorithms for Vine Copula Modeling in Python
High Performance Algorithms for Vine Copula Modeling in R
Generalized Additive Models for Bivariate Conditional Dependence Structures and Vine Copulas
Statistical Inference of Vine Copulas
High Performance Algorithms for Vine Copula Modeling
We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencoder (AE) compresses the data into a lower dimensional representation. …
Pair-copula constructions are flexible models for the dependence in a random vector that have attracted a lot of interest in recent years. In this paper, we use generalized additive models to extend pair-copula constructions to allow for effects of …