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Erschienen in:
2010 | OriginalPaper | Buchkapitel
Pair-Copula Constructions of Multivariate Copulas
verfasst von : Claudia Czado
Erschienen in: Copula Theory and Its Applications
Verlag: Springer Berlin Heidelberg
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In this survey we introduce and discuss the pair-copula construction method to build flexible multivariate distributions. This class includes drawable (D), canonical (C) and regular vines developed in [5] and [4]. Estimation and model selection methods are studied both in a classical as well as in a Bayesian setting. This flexible class of multivariate copulas can be applied to model complex dependencies. Literature to applications in modeling financial data as well as Bayesian belief networks are provided. It closes with a section on open problems.