Computational Challenges of t and Related Copulas

Erik Hintz, Marius Hofert, Christiane Lemieux
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
more » ... ile functions, and give possible solutions along with future research ideas.
doi:10.6339/22-jds1034 fatcat:tjudjhsmsrb6ppgy2o56cb6p6q