Analyzing dependent data with vine copulas. A practical guide with R

DOI10.1007/978-3-030-13785-4zbMath1425.62001OpenAlexW3000376115MaRDI QIDQ1738351

Publication date: 11 April 2019

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-13785-4

zbMATH Keywords

model selection copulas multivariate statistics case study dependent data pair copula dependence modelling regular vine copula bivariate copula vine copulas depence measures multivariate data structures pair copula decomposition parameter estimation in copulas simulating regular vine copulas statistical inference for vine cpulas trail dependence vine copula based modeling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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