Factor copula models for multivariate data

Journal of Multivariate Analysis

Volumn 120, Issue , 2013, Pages 85-101

  Krupskii, Pavel ^a   Joe, Harry ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Conditional independence; Factor analysis; Pair copula construction; Partial correlation; Tail asymmetry; Tail dependence; Truncated vine

Indexed keywords

EID: 84879186843     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2013.05.001     Document Type: Article

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