TY - CHAP
T1 - Pair Copula Decompositions and Constructions
AU - Czado, Claudia
N1 - Publisher Copyright:
© 2019, Springer Nature Switzerland AG.
PY - 2019
Y1 - 2019
N2 - The goal is to construct multivariate distributions using only bivariate building blocks. The appropriate tool to obtain such a construction is to use conditioning. (Rüschendorf, Schweizer and Taylor (Ed.), Distributions with Fixed Marginals and Related Topics, 1996) Joe (1996) gave the first pair copula construction of a multivariate copula in terms of distribution functions, while (Proceedings of ESREL2001. Turin, Italy, 2001) Bedford and Cooke (2001), (Annals of Statistics, 30(4):1031–1068, 2002) Bedford and Cooke (2002) independently developed constructions expressed in terms of densities. Additionally they provided a general framework to identify all possible constructions.
AB - The goal is to construct multivariate distributions using only bivariate building blocks. The appropriate tool to obtain such a construction is to use conditioning. (Rüschendorf, Schweizer and Taylor (Ed.), Distributions with Fixed Marginals and Related Topics, 1996) Joe (1996) gave the first pair copula construction of a multivariate copula in terms of distribution functions, while (Proceedings of ESREL2001. Turin, Italy, 2001) Bedford and Cooke (2001), (Annals of Statistics, 30(4):1031–1068, 2002) Bedford and Cooke (2002) independently developed constructions expressed in terms of densities. Additionally they provided a general framework to identify all possible constructions.
UR - http://www.scopus.com/inward/record.url?scp=85065770225&partnerID=8YFLogxK
U2 - 10.1007/978-3-030-13785-4_4
DO - 10.1007/978-3-030-13785-4_4
M3 - Chapter
AN - SCOPUS:85065770225
T3 - Lecture Notes in Statistics
SP - 77
EP - 93
BT - Lecture Notes in Statistics
PB - Springer Science and Business Media, LLC
ER -