Nonparametric estimation of pair-copula constructions with the empirical pair-copula
(2012) , 23 pages
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- Authors
- Abstract
- A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or paircopulae. 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.
- Affiliations
Norwegian Computing Center, Oslo, Norway
Citations
Hoebak Haff, I., & Segers, J. (2012). Nonparametric estimation of pair-copula constructions with the empirical pair-copula (ISBA Discussion Paper 2012/03). https://hdl.handle.net/2078.5/209133