Implicit Copulas: An Overview
نویسندگان
چکیده
Implicit copulas are the most common copula choice for modeling dependence in high dimensions. This broad class of is introduced and surveyed, including elliptical copulas, skew t factor time series regression copulas. The auxiliary representation implicit outlined, how this makes them both scalable tractable statistical modeling. Issues such as parameter identification, extended likelihoods discrete or mixed data, parsimony dimensions, simulation from model considered. Bayesian approaches to estimate parameters, predict an model, outlined. Particular attention given processes constructed models, which at forefront current research. Two econometric applications—one macroeconomic other financial asset pricing—illustrate advantages models.
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2021
ISSN: ['2452-3062', '2468-0389']
DOI: https://doi.org/10.1016/j.ecosta.2021.12.002