Benutzer: Gast  Login
Titel:

Examination and visualization of the simplifying assumption for vine copulas in three dimensions

Dokumenttyp:
Zeitungsartikel
Autor(en):
Killiches, M., Kraus, D., and Czado, C.
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:
1
Seitenangaben Beitrag:
95–117
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1111/anzs.12182
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
 BibTeX