Pair-copula constructions of multiple dependence

@inproceedings{Aas2006PaircopulaCO,
  title={Pair-copula constructions of multiple dependence},
  author={Kjersti Aas},
  year={2006}
}
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 to the incorporation of more variables in the conditioning sets, using pair… CONTINUE READING
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