Pair-copula constructions of multiple dependence

  title={Pair-copula constructions of multiple dependence},
  author={Kjersti Aas},
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
Highly Influential
This paper has highly influenced 97 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS


Publications citing this paper.
Showing 1-10 of 241 extracted citations

Factor copula models for item response data.

View 4 Excerpts
Highly Influenced

Measuring systemic risk using vine-copula

View 9 Excerpts
Highly Influenced

Hierarchical Kendall copulas : Properties and inference Eike

Christian Brechmann
View 10 Excerpts
Highly Influenced

Partial correlation with copula modeling

Computational Statistics & Data Analysis • 2011
View 7 Excerpts
Highly Influenced


Publications referenced by this paper.
Showing 1-10 of 22 references

Monte Carlo simulation of vine dependent random variables for applications in uncertainty analysis

T. Bedford, R. M. Cooke
2001 Proceedings of ESREL2001, Turin, Italy. • 2001
View 10 Excerpts
Highly Influenced

Families of m-variate distributions with given margins and m(m-1)/2 bivariate dependence parameters

H. Joe
L. Rüschendorf and B. Schweizer and M. D. Taylor (Ed.), Distributions with Fixed Marginals and Related Topics. • 1996
View 4 Excerpts
Highly Influenced

Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines

Annals of Mathematics and Artificial Intelligence • 2001
View 5 Excerpts
Highly Influenced

Elicitation procedures for conditional and unconditional rank correlations

O. Morales, D. Kurowicka, A. Roelen
Resources for the future, Expert Judgement Policy Symposium and Technical Workshop, Washington, DC, March 13-14. • 2006
View 1 Excerpt

The t copula and related copulas

S. Demarta, A. J. McNeil
International Statical Review 73 (1), 111–129. • 2005
View 3 Excerpts

Distribution - free continuous bayesian belief nets

D. Kurowicka, R. M. Cooke
Fourth International Conference on Mathematical Methods in Reliability Methodology and Practice, Santa Fe, New Mexico. • 2004
View 1 Excerpt

Highly Structured Stochastic Systems

P. Green, N. L. Hjort, S. Richardson
Oxford: Oxford University Press. • 2003
View 1 Excerpt

Modelling dependence with copulas and applications to risk management

P. Embrechts, F. Lindskog, A. McNeil
S.T.Rachev (Ed.), Handbook of Heavy Tailed Distributions in Finance. North-Holland: Elsevier. • 2003
View 1 Excerpt

Similar Papers

Loading similar papers…