TY - CHAP
T1 - Parameter Estimation in Simplified Regular Vine Copulas
AU - Czado, Claudia
N1 - Publisher Copyright:
© 2019, Springer Nature Switzerland AG.
PY - 2019
Y1 - 2019
N2 - In the last chapter, we have seen how to design very flexible multivariate copulas. To make them useful for practise, we have now to tackle the problem of parameter estimation. For this, we will assume that the simplifying assumption holds throughout. We also suppose, that the vine copula model is completely specified by a given vine tree sequence, as well as, the pair copula families associated to each edge in the vine tree sequence. The problem of how to choose the pair copula families and how to select the vine structure will be treated in subsequent chapters.
AB - In the last chapter, we have seen how to design very flexible multivariate copulas. To make them useful for practise, we have now to tackle the problem of parameter estimation. For this, we will assume that the simplifying assumption holds throughout. We also suppose, that the vine copula model is completely specified by a given vine tree sequence, as well as, the pair copula families associated to each edge in the vine tree sequence. The problem of how to choose the pair copula families and how to select the vine structure will be treated in subsequent chapters.
UR - http://www.scopus.com/inward/record.url?scp=85065760035&partnerID=8YFLogxK
U2 - 10.1007/978-3-030-13785-4_7
DO - 10.1007/978-3-030-13785-4_7
M3 - Chapter
AN - SCOPUS:85065760035
T3 - Lecture Notes in Statistics
SP - 145
EP - 153
BT - Lecture Notes in Statistics
PB - Springer Science and Business Media, LLC
ER -