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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Killiches, M., Kraus, D., and Czado, C. 
Titel:
Examination and visualization of the simplifying assumption for vine copulas in three dimensions 
Abstract:
Vine copulas are a highly flexible class of dependence models, which are based on the decomposition of the density into bivariate building blocks. For applications one usually makes the simplifying assumption that copulas of conditional distributions are independent of the variables on which they are conditioned. However this assumption has been criticised for being too restrictive. We examine both simplified and non-simplified vine copulas in three dimensions and investigate conceptual differen...    »
 
Stichworte:
contour surfaces; pair-copula constructions; simplifying assumption; visualisation 
Zeitschriftentitel:
Australian and New Zealand Journal of Statistics 
Jahr:
2017 
Band / Volume:
59 
Quartal:
1. Quartal 
Monat:
Mar 
Heft / Issue:
Seitenangaben Beitrag:
95–117 
Reviewed:
ja 
Sprache:
en 
WWW:
_blank 
Verlag / Institution:
Elsevier 
Print-ISSN:
1467-842X 
Status:
Verlagsversion / published 
Angenommen (von Zeitschrift):
07.12.2016 
Publikationsdatum:
14.03.2017 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text