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Computational Challenges of t and Related Copulas
2022
Journal of Data Science
The present paper addresses computational and numerical challenges when working with t copulas and their more complicated extensions, the grouped t and skew t copulas. We demonstrate how the R package nvmix can be used to work with these copulas. In particular, we discuss (quasi-)random sampling and fitting. We highlight the difficulties arising from using more complicated models, such as the lack of availability of a joint density function or the lack of an analytical form of the marginal
doi:10.6339/22-jds1034
fatcat:tjudjhsmsrb6ppgy2o56cb6p6q