Generalized Additive Models for Bivariate Conditional Dependence Structures and Vine Copulas
Pair-copula constructions are flexible models for the dependence in a random vector that have attracted a lot of interest in recent years. In this paper, we use generalized additive models to extend pair-copula constructions to allow for effects of …
We develop a generalized additive modeling framework for taking into account the effect of predictors on the dependence structure between two variables. We consider dependence or concordance measures that are solely functions of the copula, because …