Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Testing the simplifying assumption in high-dimensional vine copulas   Testing the simplifying assumption in high-dimensional vine copulas is a
difficult task. Tests must be based on estimated observations and amount to
checking constraints on high-dimensional distributions. So far, corresponding
tests have been limited to single conditional copulas with a low-dimensional
set of conditioning variables. We propose a novel testing procedure that is
computationally feasible for high-dimensional data sets and that exhibits a
power that decreases only slightly with the dimension. By discretizing the
support of the conditioning variables and incorporating a penalty in the test
statistic, we mitigate the curse of dimensions by looking for the possibly
strongest deviation from the simplifying assumption. The use of a decision tree
renders the test computationally feasible for large dimensions. We derive the
asymptotic distribution of the test and analyze its finite sample performance
in an extensive simulation study. The utility of the test is demonstrated by
its application to six data sets with up to 49 dimensions.

18
The categories of this paper are: econ
5
The categories of this paper are: gr-qc
4
The categories of this paper are: cond-mat
8
The categories of this paper are: hep-ex
26
The categories of this paper are: bayes-an
17
The categories of this paper are: q-fin
31
The categories of this paper are: ao-sci
30
The categories of this paper are: q-alg
35
The categories of this paper are: mtrl-th
13
The categories of this paper are: quant-ph
37
The categories of this paper are: supr-con
23
The categories of this paper are: solv-int
2
The categories of this paper are: math
21
The categories of this paper are: adap-org
3
The categories of this paper are: physics
28
The categories of this paper are: alg-geom