Generalized Additive Models for Pair-Copula Constructions
نویسندگان
چکیده
منابع مشابه
Pair-copula constructions for non-Gaussian DAG models
We propose a new type of multivariate statistical model that permits non-Gaussian distributions as well as the inclusion of conditional independence assumptions induced by a directed acyclic graph. These models feature a specific factorisation of the likelihood that is based on pair-copula constructions and hence involves only univariate distributions and bivariate copulas, of which some may be...
متن کاملBeyond simplified pair-copula constructions
Any multivariate density can be decomposed through successive conditionings into basic building blocks involving only pairs of variables. The various ways in which this can be done are called regular vines; C-vines and D-vines are prime examples of such structures. A pair-copula construction (PCC) is a modelling strategy in which conditional and unconditional bivariate copula densities are assi...
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In non-life insurance, insurers use experience rating to adjust premiums to reflect policyholders’ previous claim experience. Performing prospective experience rating can be challenging when the claim distribution is complex. For instance, insurance claims are semicontinuous in that a fraction of zeros is often associated with an otherwise positive continuous outcome from a right-skewed and lon...
متن کاملParameter estimation for pair-copula constructions
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its asymptotic properties, as well as the estimation algorithm for the two most common types of PCCs. Compared to the considered alternatives, i.e. maximum likelihood, inference functions for margins and...
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In this paper we present a novel Bayesian approach for default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula theory. Balance sheet data are used to asses the firm value and to compute its default probability. The firm pricing function is obtained via a pair copula approach, and Monte Carlo simulations are used to calculate the default...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2018
ISSN: 1061-8600,1537-2715
DOI: 10.1080/10618600.2018.1451338