Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso

Dominik Müller, Claudia Czado. Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso. Computational Statistics & Data Analysis, 137:211-232, 2019. [doi]

Authors

Dominik Müller

This author has not been identified. Look up 'Dominik Müller' in Google

Claudia Czado

This author has not been identified. Look up 'Claudia Czado' in Google