Truncated regular vines in high dimensions with application to financial data

DOI10.1002/cjs.10141zbMath1274.62381OpenAlexW2098381731WikidataQ56865729 ScholiaQ56865729MaRDI QIDQ3225771

Claudia Czado, Kjersti Aas, Eike Christian Brechmann

Publication date: 22 March 2012

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

Full work available at URL: https://doi.org/10.1002/cjs.10141

zbMATH Keywords

multivariate copula regular vines simplified vines truncated canonical vines

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

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