期刊
INSURANCE MATHEMATICS & ECONOMICS
卷 44, 期 2, 页码 182-198出版社
ELSEVIER
DOI: 10.1016/j.insmatheco.2007.02.001
关键词
Pair-copulae; Vines; Conditional distribution; Decomposition; Multivariate distribution
类别
资金
- Norwegian fund Finansmarkedsfondet
- Norwegian Research Council
- Deutsche Forschungsgemeinschaft
Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate distribution and propose a method for performing inference. The model construction is hierarchical in nature, the various levels corresponding to the incorporation of more variables in the conditioning sets, using pair-copulae as simple building blocks. Pair-copula decomposed models also represent a very flexible way to construct higher-dimensional copulae. We apply the methodology to a financial data set. Our approach represents the first step towards the development of art unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically. (C) 2007 Elsevier B.V. All rights reserved.
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