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Simplified pair copula constructions—Limitations and extensions

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  • Stöber, Jakob
  • Joe, Harry
  • Czado, Claudia

Abstract

So-called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models. To keep them tractable for inference and model selection, the simplifying assumption, that copulas of conditional distributions do not depend on the values of the variables which they are conditioned on, is popular.

Suggested Citation

  • Stöber, Jakob & Joe, Harry & Czado, Claudia, 2013. "Simplified pair copula constructions—Limitations and extensions," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 101-118.
    • Handle: RePEc:eee:jmvana:v:119:y:2013:i:c:p:101-118
    DOI: 10.1016/j.jmva.2013.04.014
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    References listed on IDEAS

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