کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077477 | 1374132 | 2009 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pair-copula constructions of multiple dependence
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Pair-copula constructions of multiple dependence Pair-copula constructions of multiple dependence](/preview/png/5077477.png)
چکیده انگلیسی
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 for performing inference. The model construction is hierarchical in nature, the various levels corresponding to the incorporation of more variables in the conditioning sets, using pair-copulae as simple building blocks. Pair-copula decomposed models also represent a very flexible way to construct higher-dimensional copulae. We apply the methodology to a financial data set. Our approach represents the first step towards the development of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 2, April 2009, Pages 182-198
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 2, April 2009, Pages 182-198
نویسندگان
Kjersti Aas, Claudia Czado, Arnoldo Frigessi, Henrik Bakken,