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...
متن کاملTail dependence functions and vine copulas
Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at various relative scales. The properties as well as the interplay of these two functions are established based upon their homogeneous structures. The extremal dependence of a copula, as described by its extreme value copulas, is shown to be co...
متن کاملTruncation of vine copulas using fit indices
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...
متن کاملModel selection for discrete regular vine copulas
Abstract Discrete vine copulas, introduced by Panagiotelis et al. (2012), provide a flexible modeling framework for high-dimensional data and have significant computational advantages over competing methods. A vine-based multivariate probability mass function is constructed from bivariate copula building blocks and univariate marginal distributions. However, even for a moderate number of variab...
متن کاملApproximate Uncertainty Modeling in Risk Analysis with Vine Copulas
Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesian networks and copulas are two common approaches to modeling joint uncertainties with probability distributions. This article focuses on new methodologies for copulas by developing work of Cooke, Bedford, Kurowica, and others on vines as a way of constructing higher dimensional distributions tha...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2018
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2018.1438642