2012/01/24 by Haff, Ingrid Hobaek, Segers, Johan
#62G05 #62G10 #62G30 #FOS: Computer and information sciences #Methodology (stat.ME)
paper · doi:10.48550/arxiv.1201.5133
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, which comes at the cost of a large model risk, with errors propagating throughout the vine structure. The empirical pair-copula proposed in the paper provides a nonparametric alternative still achieving the parametric convergence rate. It can be used as a basis for inference on dependence measures, for selecting and pruning the vine structure, and for hypothesis tests concerning the form of the pair-copulae.