Simplified vine copula models: approximations based on the simplifying assumption

DOI10.1214/19-EJS1547zbMath1418.62225arXiv1510.06971OpenAlexW2964024347WikidataQ114599275 ScholiaQ114599275MaRDI QIDQ2414491

Malte S. Kurz, Fabian Spanhel

Publication date: 17 May 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.06971

zbMATH Keywords

conditional copulapair-copula constructionvine copulasimplifying assumptionpartial vine copula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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