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Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (arXiv:2308.05564v1 [econ.EM])
cs.LG updates on arXiv.org arxiv.org
Large skew-t factor copula models are attractive for the modeling of
financial data because they allow for asymmetric and extreme tail dependence.
We show that the copula implicit in the skew-t distribution of Azzalini and
Capitanio (2003) allows for a higher level of pairwise asymmetric dependence
than two popular alternative skew-t copulas. Estimation of this copula in high
dimensions is challenging, and we propose a fast and accurate Bayesian
variational inference (VI) approach to do so. The method uses a …
application arxiv copula data distribution equity financial inference modeling returns show skew