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Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas

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Cited by

2016Pair-Copula Constructions for Financial Applications: A Review82 cited
2019Model selection in sparse high-dimensional vine copula models with an application to portfolio risk72 cited
2019Prediction based on conditional distributions of vine copulas50 cited
2017Nonparametric estimation of simplified vine copula models: comparison of methods

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50 cited

2017Nonparametric estimation of simplified vine copula models: comparison of methods47 cited

2017About tests of the “simplifying” assumption for conditional copulas45 cited

2018kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities42 cited

2018Generalized Additive Models for Pair-Copula Constructions41 cited

2017Examination and visualisation of the simplifying assumption for vine copulas in three dimensions39 cited

2016Model selection for discrete regular vine copulas39 cited

2021How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond27 cited

2017Estimating non-simplified vine copulas using penalized splines25 cited

2019Global reliability sensitivity estimation based on failure samples24 cited

2020Notice of Violation of IEEE Publication Principles: A Big Data Framework to Identify Tourist Interests Based on Geotagged Travel Photos16 cited

2019A new calibration metric that considers statistical correlation: Marginal Probability and Correlation Residuals15 cited

2020Bayes theorem–based and copula-based estimation for failure probability function15 cited