Simplified pair copula constructions—Limitations and extensions

So-called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models. To keep them tractable for inference and model selection, the simplifying assumption, that copulas of conditional distributions do not depend on the values of the variables which they are conditioned on, is popular.

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Year of publication:	2013
Authors:	Stöber, Jakob ; Joe, Harry ; Czado, Claudia
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 119.2013, C, p. 101-118
Publisher:	Elsevier
Subject:	Archimedean copula \| Elliptical copula \| Pair copula construction \| Conditional distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041899