Selection of Vine Copulas
نویسندگان
چکیده
Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of vine tree structure, copula families for each pair copula term and their corresponding parameters. In this survey we discuss the different approaches, both frequentist as well as Bayesian, for these model choices so far and point to open problems.
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