Simplified pair copula constructions—Limitations and extensions

Jakob Stöber, Harry Joe and Claudia Czado

Journal of Multivariate Analysis, 2013, vol. 119, issue C, 101-118

Abstract: 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.

Keywords: Archimedean copula; Elliptical copula; Pair copula construction; Conditional distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (43)

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DOI: 10.1016/j.jmva.2013.04.014

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