Smooth nonparametric Bernstein vine copulas
نویسندگان
چکیده
منابع مشابه
Selection of Vine Copulas
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 vine tree structure, copula families for each pair copula term and their corresponding parameters. In this survey we discuss the different approaches, both frequentist as...
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Vine copulas are flexible multivariate dependence models, which are built up from a set of bivariate copulas in different hierarchical levels. However, vine copulas have a computational complexity that is increasing quadratically in the number of variables. This complexity can be reduced by focusing on the sub-class of truncated vine copulas, which use only a limited number of hierarchical leve...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2016
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2016.1185141