Dynamic Vine Copulas detect time-varying higher-order interactions by contrasting full vines against their 1-truncated versions on held-out data, separating pairwise from conditional dependence contributions.
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Dynamic Vine Copulas: Detecting and Quantifying Time-Varying Higher-Order Interactions
Dynamic Vine Copulas detect time-varying higher-order interactions by contrasting full vines against their 1-truncated versions on held-out data, separating pairwise from conditional dependence contributions.