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Article: Computational challenges of t and related copulas
Title | Computational challenges of t and related copulas |
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Authors | |
Issue Date | 2-Feb-2022 |
Publisher | Renmin University |
Citation | Journal of Data Science, 2022, v. 20, n. 1, p. 95-110 How to Cite? |
Abstract | The present paper addresses computational and numerical challenges when working with t copulas and their more complicated extensions, the grouped t and skew t copulas. We demonstrate how the R package nvmix can be used to work with these copulas. In particular, we discuss (quasi-)random sampling and fitting. We highlight the difficulties arising from using more complicated models, such as the lack of availability of a joint density function or the lack of an analytical form of the marginal quantile functions, and give possible solutions along with future research ideas. |
Persistent Identifier | http://hdl.handle.net/10722/330942 |
ISSN |
DC Field | Value | Language |
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dc.contributor.author | Hintz, E | - |
dc.contributor.author | Hofert, M | - |
dc.contributor.author | Lemieux, C | - |
dc.date.accessioned | 2023-09-21T06:51:20Z | - |
dc.date.available | 2023-09-21T06:51:20Z | - |
dc.date.issued | 2022-02-02 | - |
dc.identifier.citation | Journal of Data Science, 2022, v. 20, n. 1, p. 95-110 | - |
dc.identifier.issn | 1680-743X | - |
dc.identifier.uri | http://hdl.handle.net/10722/330942 | - |
dc.description.abstract | <p>The present paper addresses computational and numerical challenges when working with <em>t</em> copulas and their more complicated extensions, the grouped <em>t</em> and skew <em>t</em> copulas. We demonstrate how the R package nvmix can be used to work with these copulas. In particular, we discuss (quasi-)random sampling and fitting. We highlight the difficulties arising from using more complicated models, such as the lack of availability of a joint density function or the lack of an analytical form of the marginal quantile functions, and give possible solutions along with future research ideas.</p> | - |
dc.language | eng | - |
dc.publisher | Renmin University | - |
dc.relation.ispartof | Journal of Data Science | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.title | Computational challenges of t and related copulas | - |
dc.type | Article | - |
dc.identifier.doi | 10.6339/22-JDS1034 | - |
dc.identifier.volume | 20 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 95 | - |
dc.identifier.epage | 110 | - |
dc.identifier.eissn | 1683-8602 | - |
dc.identifier.issnl | 1680-743X | - |