Tree-based conditional copula estimation
This article proposes a regression tree procedure to estimate conditional copulas. The associated algorithm determines classes of observations based on covariate values and fits a simple parametric copula model on each class. The association parameter changes from one class to another, allowing for...
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| Hauptverfasser: | , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
De Gruyter
2025-02-01
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| Schriftenreihe: | Dependence Modeling |
| Schlagworte: | |
| Online-Zugang: | https://doi.org/10.1515/demo-2024-0010 |
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