Copulaboost: additive modeling with copula-based model components. (arXiv:2208.04669v1 [stat.ME])

We propose a type of generalised additive models with of model components
based on pair-copula constructions, with prediction as a main aim. The model
components are designed such that our model may capture potentially complex
interaction effects in the relationship between the response covariates. In
addition, our model does not require discretisation of continuous covariates,
and is therefore suitable for problems with many such covariates. Further, we
have designed a fitting algorithm inspired by gradient boosting, as well as
efficient …

arxiv components copula modeling