Vines Arise

Roger Cooke, Harry Joe and Kjersti Aas
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Harry Joe: Department of Statistics, University of British Columbia, Canada
Kjersti Aas: Norwegian Computing Centre, Norway

Chapter 3 in Dependence Modeling:Vine Copula Handbook, 2010, pp 37-71 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractAn introduction to the main idea of vines as graphical models is presented, along with various notation and graphs for representing vines. The early history of vines is summarized, together with the motivation for their construction. The relation to compatibility of subsets of marginal distributions is given to provide some intuition. Important properties and applications of vines are included.

Keywords: Dependence Modeling; Joint Distributions; Copulae; Vines; Graphical Models; PCC (search for similar items in EconPapers)
Date: 2010
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