User: Guest  Login
Title:

Vine Copula Based Modeling

Document type:
Zeitschriftenaufsatz
Author(s):
Czado, Claudia; Nagler, Thomas
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:
9
Year / month:
2022-03
Quarter:
1. Quartal
Month:
Mar
Journal issue:
1
Pages contribution:
453-477
Language:
en
Fulltext / DOI:
doi:10.1146/annurev-statistics-040220-101153
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
 BibTeX