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Selection of vine copulas. (English) Zbl 1273.62110

Jaworski, Piotr (ed.) et al., Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10–11, 2012. Berlin: Springer (ISBN 978-3-642-35406-9/pbk; 978-3-642-35407-6/ebook). Lecture Notes in Statistics 213, 17-37 (2013).
Summary: Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of a vine tree structure, the copula families for each pair copula term and their corresponding parameters. In this survey we discuss the different approaches, both frequentist and Bayesian, for these model choices so far and point to open problems.
For the entire collection see [Zbl 1268.91005].

MSC:

62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H12 Estimation in multivariate analysis
62F15 Bayesian inference
65C60 Computational problems in statistics (MSC2010)
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