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Document type:
Zeitungsartikel 
Author(s):
Kraus, D. and Czado, C. 
Title:
Growing simplified vine copula trees: improving Dißmann's algorithm 
Abstract:
Vine copulas are pair-copula constructions enabling multivariate dependence modeling in terms of bivariate building blocks. One of the main tasks of fitting a vine copula is the selection of a suitable tree structure. For this the prevalent method is a heuristic called Dißmann's algorithm. It sequentially constructs the vine's trees by maximizing dependence at each tree level, where dependence is measured in terms of absolute Kendall's tau. However, the algorithm disregards any implications of t...    »
 
Keywords:
Vine copulas, structure selection, simplifying assumption, Dißmann's algorithm, test for constant conditional correlation 
Journal title:
Preprint 
Year:
2017 
Reviewed:
ja 
Language:
en 
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