Diagnostics for the Validity of the Simplifying Assumption for Vine Copulas

Harry Joe ()
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Harry Joe: University of British Columbia

A chapter in Statistical Dependence Modeling, 2026, pp 77-107 from Springer

Abstract: Abstract Diagnostic methods are given for assessing the simplifying assumption for vine copulas. These include (a) measures of central and tail-weighted dependence applied to conditional distributions, so that they are functions of the conditioning variables, and (b) comparisons of the fit of several different vine copulas. The methods are applied to simulated data sets from some low-dimensional non-simplified vine copulas, and from the multivariate gamma factor model for which no conditioning satisfies the simplifying assumption. The methods are also applied to some real data sets. The examples verify that methods work well and can suggest copula models to fit without the simplifying assumption.

Keywords: Conditional dependence; Gamma factor model; Partial copula; Tail-weighted dependence (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-14252-8_5

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DOI: 10.1007/978-3-032-14252-8_5

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