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Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Czado, Claudia; Nagler, Thomas
Titel:
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...    »
Stichworte:
copula, dependence, distribution, multivariate, tail, vine
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Annual Review of Statistics and Its Application
Jahr:
2022
Band / Volume:
9
Jahr / Monat:
2022-03
Quartal:
1. Quartal
Monat:
Mar
Heft / Issue:
1
Seitenangaben Beitrag:
453-477
Sprache:
en
Volltext / DOI:
doi:10.1146/annurev-statistics-040220-101153
Verlag / Institution:
Annual Reviews
E-ISSN:
2326-82982326-831X
Hinweise:
First published as a Review in Advance on November 2, 2021
Publikationsdatum:
07.03.2022
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik
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