Beyond simplified pair-copula constructions

Elif F. Acar*, Christian Genest, Johanna Nešlehová

*Korrespondierende*r Autor*in für diese Arbeit

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung


Pair-copula constructions (PCCs) offer great flexibility in modeling multivariate dependence. For inference purposes, however, conditional pair-copulas are often assumed to depend on the conditioning variables only indirectly through the conditional margins. The authors show here that this assumption can be misleading. To assess its validity in trivariate PCCs, they propose a visual tool based on a local likelihood estimator of the conditional copula parameter which does not rely on the simplifying assumption. They establish the consistency of the estimator and assess its performance in finite samples via Monte Carlo simulations. They also provide a real data application.

Seiten (von - bis)74-90
FachzeitschriftJournal of Multivariate Analysis
PublikationsstatusVeröffentlicht - Sept. 2012
Extern publiziertJa

Bibliographische Notiz

Funding Information:
Funding in support of this work was provided by the Canada Research Chairs Program, the Natural Sciences and Engineering Research Council of Canada, the Fonds québécois de la recherche sur la nature et les technologies, as well as by the Centre de recherches mathématiques de Montréal.