On the simplified pair-copula construction - Simply useful or too simplistic?

JOURNAL OF MULTIVARIATE ANALYSIS

卷:101

Article

Haff, Ingrid Hobaek^1,3  Aas, Kjersti^1,3  Frigessi, Arnoldo^2,3 

[1] Norwegian Comp Ctr, NO-0373 Oslo, Norway

[2] Univ Oslo, Dept Biostat, NO-0317 Oslo, Norway

[3] Stat Innovat Sfi2, Oslo, Norway

关键词: Copulae;    Vines;    Multivariate distributions;    Hierarchical structures;   

DOI  :  10.1016/j.jmva.2009.12.001

来源: Elsevier

【 摘 要 】

Due to their high flexibility, yet simple structure, pair-copula constructions (PCCs) are becoming increasingly popular for constructing continuous multivariate distributions. However, inference requires the simplifying assumption that all the pair-copulae depend on the conditioning variables merely through the two conditional distribution functions that constitute their arguments, and not directly. In terms of standard measures of dependence, we express conditions under which a specific pair-copula decomposition of a multivariate distribution is of this simplified form. Moreover, we show that the simplified PCC in fact is a rather good approximation, even when the simplifying assumption is far from being fulfilled by the actual model. (C) 2009 Elsevier Inc. All rights reserved.

【 授权许可】

Free