Fast inference methods for high-dimensional factor copulas
Gaussian factor models allow the statistician to capture multivariate dependence between variables. However, they are computationally cumbersome in high dimensions and are not able to capture multivariate skewness in the data. We propose a copula model that allows for arbitrary margins, and multivar...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2022-09-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2022-0117 |