Dependence Comparisons of Vine Copulae with Four or More Variables

Harry Joe
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Harry Joe: Department of Statistics, University of British Columbia, Vancover BC, Canada, V6T 1Z2, Canada

Chapter 7 in Dependence Modeling:Vine Copula Handbook, 2010, pp 139-164 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIt is known that there is one equivalence class of regular vines for n = 3 and two equivalence classes for n = 4. Through an enumeration, we show that there are six equivalence classes for n = 5 with boundary classes of C-vines and D-vines, so that the dimension of n = 5 is manageable in terms of studying the intermediate regular vines. For vine copulae, which obtain from associating a bivariate copula with each pair in the vine, we develop an approach that leads to algorithms for C-vines, D-vines and intermediate vines. Some similarities between different vine copulae can be seen from how they are simulated. For Gaussian and non-Gaussian vines, we compare the marginal bivariate dependence of different vine copulae when the level ℓ bivariate linking copulae are all set at Cℓ, ℓ = 1,…, n − 1.

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