2016/04/10 by Edith Kovács, Kovács, Edith, Tamás Szántai +1 · 1 citation
Computer Science · Economics, Econometrics and Finance · #60C05 #62H05 #Bayesian Modeling and Causal Inference #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Rough Sets and Fuzzy Logic
paper · pdf · doi:10.48550/arxiv.1604.02652
openalex publication_date 2016/04/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Vine copulas constitute a flexible way for modeling of dependences using only pair copulas as building blocks. The pair-copula constructions introduced by Joe (1997) are able to encode more types of dependences in the same time since they can be expressed as a product of different types of bi-variate copulas. The Regular-vine structures (R-vines), as pair copulas corresponding to a sequence of trees, have been introduced by Bedford and Cooke (2001, 2002) and further explored by Kurowicka and Cooke (2006). The complexity of these models strongly increases in larger dimensions. Therefore the so called truncated R-vines were introduced in Brechmann et al. (2012). In this paper we express the Regular-vines using a special type of hypergraphs, which encodes the conditional independences.