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Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, Claudia; Nagler, Thomas 
Title:
Vine Copula Based Modeling 
Abstract:
With the availability of massive multivariate data comes a need to develop flexible multivariate distribution classes. The copula approach allows marginal models to be constructed for each variable separately and joined with a dependence structure characterized by a copula. The class of multivariate copulas was limited for a long time to elliptical (including the Gaussian and t-copula) and Archimedean families (such as Clayton and Gumbel copulas). Both classes are rather restrictive with regard...    »
 
Keywords:
copula, dependence, distribution, multivariate, tail, vine 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Annual Review of Statistics and Its Application 
Year:
2022 
Journal volume:
Year / month:
2022-03 
Quarter:
1. Quartal 
Month:
Mar 
Journal issue:
Pages contribution:
453-477 
Language:
en 
Publisher:
Annual Reviews 
E-ISSN:
2326-82982326-831X 
Notes:
First published as a Review in Advance on November 2, 2021 
Date of publication:
07.03.2022 
TUM Institution:
Professur für Angewandte Mathematische Statistik