EconStor >
Ludwig-Maximilians-Universität München (LMU) >
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Universität München (LMU) >
Discussion papers, SFB 386, LMU München >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/31037
  
Title:Pair-copula constructions of multiple dependence PDF Logo
Authors:Aas, Kjersti
Czado, Claudia
Frigessi, Arnoldo
Bakken, Henrik
Issue Date:2006
Series/Report no.:Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 487
Abstract:Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate distribution and propose a method to perform inference. The model construction is hierarchical in nature, the various levels corresponding as simple building blocs. Pair-copula decomposed models also represent a very flexible way to construct higher-dimensional coplulae. We apply the methodology to a financial data set. Our approach represents the first step towards developing of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically.
Persistent Identifier of the first edition:urn:nbn:de:bvb:19-epub-1855-3
Document Type:Working Paper
Appears in Collections:Discussion papers, SFB 386, LMU München

Files in This Item:
File Description SizeFormat
517178885.PDF1.2 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/31037

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.