Vitenskapelig artikkel   2012

Brechmann, Eike; Czado, Claudia; Aas, Kjersti

Publikasjonsdetaljer

Tidsskrift:

Canadian journal of statistics, vol. 40, p. 68–85, 2012

Utgave:

1

Internasjonale standardnumre:

Trykt: 0319-5724
Elektronisk: 1708-945X

Lenker:

DOI: doi.org/10.1002/cjs.10141

Using only bivariate copulas as building blocks, regular vine copulas constitute a flexible class of high-dimensional dependency models. However, the flexibility comes along with an exponentially increasing complexity in larger dimensions. In order to counteract this problem, we propose using statistical model selection techniques to either truncate or simplify a regular vine copula. As a special case, we consider the simplification of a canonical vine copula using a multivariate copula as previously treated by Heinen & Valdesogo (2009) and Valdesogo (2009). We validate the proposed approaches by extensive simulation studies and use them to investigate a 19-dimensional financial data set of Norwegian and international market variables.