Flexible Pair-Copula Estimation in D-vines with Penalized Splines

Kauermann G, Schellhase C (2014)
Statistics and Computing 24(6): 1081-1100.

Journal Article | Published | English

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The paper presents a new method for flexible fitting of D-vines. Pair-copulas are estimated semiparametrically using penalized Bernstein polynomials or constant and linear B-splines, respectively, as spline bases in each knot of the D-vine throughout each level. A penalty induce smoothness of the fit while the high dimensional spline basis guarantees flexibility. To ensure uniform univariate margins of each pair-copula, linear constraints are placed on the spline coefficients and quadratic programming is used to fit the model. The amount of penalizations for each pair- copula is driven by a penalty parameter which is selected in a numerically efficient way. Simulations and practical examples accompany the presentation.
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Kauermann G, Schellhase C. Flexible Pair-Copula Estimation in D-vines with Penalized Splines. Statistics and Computing. 2014;24(6):1081-1100.
Kauermann, G., & Schellhase, C. (2014). Flexible Pair-Copula Estimation in D-vines with Penalized Splines. Statistics and Computing, 24(6), 1081-1100.
Kauermann, G., and Schellhase, C. (2014). Flexible Pair-Copula Estimation in D-vines with Penalized Splines. Statistics and Computing 24, 1081-1100.
Kauermann, G., & Schellhase, C., 2014. Flexible Pair-Copula Estimation in D-vines with Penalized Splines. Statistics and Computing, 24(6), p 1081-1100.
G. Kauermann and C. Schellhase, “Flexible Pair-Copula Estimation in D-vines with Penalized Splines”, Statistics and Computing, vol. 24, 2014, pp. 1081-1100.
Kauermann, G., Schellhase, C.: Flexible Pair-Copula Estimation in D-vines with Penalized Splines. Statistics and Computing. 24, 1081-1100 (2014).
Kauermann, Göran, and Schellhase, Christian. “Flexible Pair-Copula Estimation in D-vines with Penalized Splines”. Statistics and Computing 24.6 (2014): 1081-1100.
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