Selection of Vine Copulas
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Publication:2849522
DOI10.1007/978-3-642-35407-6_2zbMath1273.62110MaRDI QIDQ2849522
Claudia Czado, Eike Christian Brechmann, Lutz F. Gruber
Publication date: 20 September 2013
Published in: Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-35407-6_2
62H12: Estimation in multivariate analysis
62F15: Bayesian inference
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
Statistical arbitrage with vine copulas, Regime switches in the dependence structure of multidimensional financial data, Model selection for discrete regular vine copulas, Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses, Conditional copula simulation for systemic risk stress testing, Truncation of vine copulas using fit indices, Univariate conditioning of vine copulas, R‐vine models for spatial time series with an application to daily mean temperature
Uses Software
Cites Work
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