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Multivariate reduced rank regression in non-Gaussian contexts, using copulas

Andréas Heinen 1 Erick Rengifo 2 
1 THEMA - Théorie économique, modélisation et applications
2 Fordham University [New York]
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Submitted on : Tuesday, May 24, 2022 - 7:01:29 PM
Last modification on : Wednesday, May 25, 2022 - 3:42:24 AM

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CNRS | UNIV-CERGY | CY-TECH-SM

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Andréas Heinen, Erick Rengifo. Multivariate reduced rank regression in non-Gaussian contexts, using copulas. Computational Statistics and Data Analysis, Elsevier, 2008, 52 (6), pp.2931-2944. ⟨10.1016/j.csda.2007.08.012⟩. ⟨hal-03677682⟩

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