Nonparametric estimation of pair-copula constructions with the empirical pair-copula
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of pair-copula constructions with the empirical pair-copula
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametri-cally, which comes at the cost of a large model risk, with errors propagating throughout the vine structure. The empirical pair-copula proposed in the paper provides a nonparamet...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2015
ISSN: 0167-9473
DOI: 10.1016/j.csda.2014.10.020