Truncation of vine copulas using fit indices
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Publication:2350036
DOI10.1016/j.jmva.2015.02.012zbMath1320.62113OpenAlexW2067121197MaRDI QIDQ2350036
Eike Christian Brechmann, Joe, Harry
Publication date: 18 June 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.02.012
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Uses Software
Cites Work
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