Pair-copula constructions of multiple dependence (Q80563): Difference between revisions
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Property / published in: Insurance Mathematics \& Economics / rank | |||||||||||||||
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12 May 2009
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Property / publication date: 12 May 2009 / rank | |||||||||||||||
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Property / author: Kjersti Aas / rank | |||||||||||||||
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Property / author: Claudia Czado / rank | |||||||||||||||
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Property / author: Arnoldo Frigessi / rank | |||||||||||||||
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Property / author: Henrik Bakken / rank | |||||||||||||||
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Pair-copula constructions of multiple dependence (English) | |||||||||||||||
Property / title: Pair-copula constructions of multiple dependence (English) / rank | |||||||||||||||
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Property / zbMATH Open document ID: 1165.60009 / rank | |||||||||||||||
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Property / full work available at URL: https://epub.ub.uni-muenchen.de/1855/1/paper_487.pdf / rank | |||||||||||||||
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The authors use a cascade of pair-copulae to model complex patterns of dependence in the tails of non-normal multivariate families. In a sense every joint distribution function contains both a description of the marginal behaviour of the individual variables and a description of their dependency structure. Copulae provide a way of isolating the description of their dependency structure. Each joint density function can be decomposed into a product of pair copulae and marginal densities. For high-dimensionals distributions, there are a significant number of possible pair-copulae constructions. To organize them, a graphical model denoted as `the regular vine' is introduced. The model construction is hierarchical in nature. Various levels of hierarchy correspond to incorporation of more variables in the conditioning sets using pair-copulae as simple building blocks. Assuming conditional independence may reduce the number of levels and hence simplify the construction. The methodology is applied to a financial data set containing daily data about four Norwegian indices. Algorithms that allow inference on the parameters of the pair-copulae on the various levels of the construction are developed. The approach is the first step towards the development of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically. | |||||||||||||||
Property / review text: The authors use a cascade of pair-copulae to model complex patterns of dependence in the tails of non-normal multivariate families. In a sense every joint distribution function contains both a description of the marginal behaviour of the individual variables and a description of their dependency structure. Copulae provide a way of isolating the description of their dependency structure. Each joint density function can be decomposed into a product of pair copulae and marginal densities. For high-dimensionals distributions, there are a significant number of possible pair-copulae constructions. To organize them, a graphical model denoted as `the regular vine' is introduced. The model construction is hierarchical in nature. Various levels of hierarchy correspond to incorporation of more variables in the conditioning sets using pair-copulae as simple building blocks. Assuming conditional independence may reduce the number of levels and hence simplify the construction. The methodology is applied to a financial data set containing daily data about four Norwegian indices. Algorithms that allow inference on the parameters of the pair-copulae on the various levels of the construction are developed. The approach is the first step towards the development of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically. / rank | |||||||||||||||
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Property / reviewed by: Pavel Stoynov / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 60E05 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 91B28 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 91B30 / rank | |||||||||||||||
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Property / zbMATH DE Number: 5553072 / rank | |||||||||||||||
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multivariate distribution | |||||||||||||||
Property / zbMATH Keywords: multivariate distribution / rank | |||||||||||||||
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copula | |||||||||||||||
Property / zbMATH Keywords: copula / rank | |||||||||||||||
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pair-copulae | |||||||||||||||
Property / zbMATH Keywords: pair-copulae / rank | |||||||||||||||
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vines | |||||||||||||||
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decomposition | |||||||||||||||
Property / zbMATH Keywords: decomposition / rank | |||||||||||||||
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tail dependence | |||||||||||||||
Property / zbMATH Keywords: tail dependence / rank | |||||||||||||||
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Revision as of 20:58, 10 July 2023
scientific article
Language | Label | Description | Also known as |
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English | Pair-copula constructions of multiple dependence |
scientific article |
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44
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2
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182-198
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April 2009
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12 May 2009
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Pair-copula constructions of multiple dependence (English)
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The authors use a cascade of pair-copulae to model complex patterns of dependence in the tails of non-normal multivariate families. In a sense every joint distribution function contains both a description of the marginal behaviour of the individual variables and a description of their dependency structure. Copulae provide a way of isolating the description of their dependency structure. Each joint density function can be decomposed into a product of pair copulae and marginal densities. For high-dimensionals distributions, there are a significant number of possible pair-copulae constructions. To organize them, a graphical model denoted as `the regular vine' is introduced. The model construction is hierarchical in nature. Various levels of hierarchy correspond to incorporation of more variables in the conditioning sets using pair-copulae as simple building blocks. Assuming conditional independence may reduce the number of levels and hence simplify the construction. The methodology is applied to a financial data set containing daily data about four Norwegian indices. Algorithms that allow inference on the parameters of the pair-copulae on the various levels of the construction are developed. The approach is the first step towards the development of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically.
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multivariate distribution
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copula
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pair-copulae
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vines
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decomposition
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tail dependence
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