Vine Copula VAR:From Recursive Margins to Joint Forecast Inference

arXiv:2610.07589 · econ.EM, math.ST, stat.ML, stat.TH · Submitted 2026-10-06 · Read on arXiv

econ.EM, math.ST, stat.ML, stat.TH

Submitted: 2026-10-06

Updated: 2026-10-14

Comments: 55 pages, 1 figure, 4 tables

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Copula — 1× in this paper · explained in 2 episodes

Sources

• Properties of stepwise parameter estimation in high-dimensional vine copulas

Related papers

• SLIM: Stochastic Learning and Inference in Overidentified Models
• High-dimensional censored MIDAS logistic regression for corporate survival forecasting
• Cross-Fitting-Free Debiased Machine Learning with Multiway Dependence
• Policy design in experiments with unknown interference
• Can large language models assist choice modelling? Insights into prompting strategies and current models' capabilities
• Causal Inference in Possibly Nonlinear Factor Models