Pair-copula constructions of multiple dependence
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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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Cited in
(only showing first 100 items - show all)- Tail dependence functions and vine copulas
- Time series with infinite-order partial copula dependence
- Stationary vine copula models for multivariate time series
- D-vine copula based quantile regression
- Nonparametric estimation of simplified vine copula models: comparison of methods
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Vine-copula GARCH model with dynamic conditional dependence
- Regime switches in the dependence structure of multidimensional financial data
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Nonstationary modelling of tail dependence of two subjects' concentration
- Robust optimization of mixed CVaR STARR ratio using copulas
- Specification of informative prior distributions for multinomial models using vine copulas
- Dependent defaults and losses with factor copula models
- Structure learning in Bayesian networks using regular vines
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Bayesian inference for conditional copulas using Gaussian process single index models
- Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses
- Risk aggregation in Solvency II through recursive log-normals
- A Legendre multiwavelets approach to copula density estimation
- Copula-based measures of reflection and permutation asymmetry and statistical tests
- Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution
- On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
- About tests of the ``simplifying assumption for conditional copulas
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- The vine philosopher
- Application of prediction models using fuzzy sets: a Bayesian inspired approach
- Vine copulas for mixed data: multi-view clustering for mixed data beyond meta-Gaussian dependencies
- Model distances for vine copulas in high dimensions
- Estimating non-simplified vine copulas using penalized splines
- Vine copula approximation: a generic method for coping with conditional dependence
- The locally Gaussian density estimator for multivariate data
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- A streaming algorithm for bivariate empirical copulas
- Testing for structural breaks in factor copula models
- Single-index copulas
- Multivariate extreme value copulas with factor and tree dependence structures
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- On the weak convergence of the empirical conditional copula under a simplifying assumption
- The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach
- A copula model for non-Gaussian multivariate spatial data
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Unsupervised data classification using pairwise Markov chains with automatic copulas selection
- Mixture of D-vine copulas for modeling dependence
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Modelling multi-output stochastic frontiers using copulas
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- Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
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- Total loss estimation using copula-based regression models
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- A copula-based GLMM model for multivariate longitudinal data with mixed-types of responses
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- A geometric investigation into the tail dependence of vine copulas
- Modelling mortality dependence: an application of dynamic vine copula
- A mixture of regular vines for multiple dependencies
- Multivariate distributions of correlated binary variables generated by pair-copulas
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- Copula-based Black-Litterman portfolio optimization
- Robust and efficient estimating equations for longitudinal data partial linear models and its applications
- Statistical dependence: beyond Pearson's
- New perspectives on knockoffs construction
- Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients
- Conditional empirical copula processes and generalized measures of association
- Modeling spatial tail dependence with Cauchy convolution processes
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Mixed value-at-risk and its numerical investigation
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- Structural change in the link between oil and the European stock market: implications for risk management
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- Risk aggregation in non-life insurance: standard models vs. internal models
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- Data-driven polynomial chaos expansion for machine learning regression
- Ordering results for elliptical distributions with applications to risk bounds
- Pair-copula models for analyzing family data
- Conditional normal extreme-value copulas
- Explaining predictive models using Shapley values and non-parametric vine copulas
- Detecting departures from meta-ellipticity for multivariate stationary time series
- Model selection of copulas: AIC versus a cross validation copula information criterion
- Crisis and risk dependencies
- Estimating standard errors in regular vine copula models
- Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
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