Related papers: Generalised logistic regression with vine copulas
This paper 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…
The composite likelihood (CL) is amongst the computational methods used for the estimation of high-dimensional multivariate normal (MVN) copula models with discrete responses. Its computational advantage, as a surrogate likelihood method,…
We consider the estimation of regression models on strata defined using a categorical covariate, in order to identify interactions between this categorical covariate and the other predictors. A basic approach requires the choice of a…
We develop factor copula models for analysing the dependence among mixed continuous and discrete responses. Factor copula models are canonical vine copulas that involve both observed and latent variables, hence they allow tail, asymmetric…
The selection of essential variables in logistic regression is vital because of its extensive use in medical studies, finance, economics and related fields. In this paper, we explore four main typologies (test-based, penalty-based,…
Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…
We propose a new copula model for replicated multivariate spatial data. Unlike classical models that assume multivariate normality of the data, the proposed copula is based on the assumption that some factors exist that affect the joint…
Vine copulas are sophisticated models for multivariate distributions and are increasingly used in machine learning. To facilitate their integration into modern ML pipelines, we introduce the vine computational graph, a DAG that abstracts…
Generalized linear models, such as logistic regression, are widely used to model the association between a treatment and a binary outcome as a function of baseline covariates. However, the coefficients of a logistic regression model…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
We propose a model for unbalanced longitudinal data, where the univariate margins can be selected arbitrarily and the dependence structure is described with the help of a D-vine copula. We show that our approach is an extremely flexible…
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student's t copula. This paper presents two contributions related to model selection of regular vine copulas.…
Vine copulas are a flexible tool for high-dimensional dependence modeling. In this article, we discuss the generation of approximate model-X knockoffs with vine copulas. It is shown how Gaussian knockoffs can be generalized to Gaussian…
We address an important yet challenging problem - modeling high-dimensional dependencies across multivariates such as financial indicators in heterogeneous markets. In reality, a market couples and influences others over time, and the…
Simplified vine copulas are flexible tools over standard multivariate distributions for modeling and understanding different dependence properties in high-dimensional data. Their conditional distributions are of utmost importance, from…
Biased sampling designs can be highly efficient when studying rare (binary) or low variability (continuous) endpoints. We consider longitudinal data settings in which the probability of being sampled depends on a repeatedly measured…
We propose generalized additive partial linear models for complex data which allow one to capture nonlinear patterns of some covariates, in the presence of linear components. The proposed method improves estimation efficiency and increases…
A recent paper proposed an extended trivariate generalized linear mixed model (TGLMM) for synthesis of diagnostic test accuracy studies in the presence of non-evaluable index test results. Inspired by the aforementioned model we propose an…
Logistic regression is the most commonly used method for constructing predictive models for binary responses. One significant drawback to this approach, however, is that the asymptotes of the logistic response function are fixed at 0 and 1,…
Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of explicitly forecasting…