Statistical Inference of Vine Copulas using the R-Package VineCopula

In this talk, the R-package VineCopula will be presented and illustrated by means of an example data set. The package contains functions for statistical inference of vine copulas and tools for exploratory data analysis and selection of bivariate copulas as building blocks of vine copulas. Vine trees can be selected using a tree-by-tree approach. Models can be estimated by joint maximum likelihood estimation and standard errors of model parameters are provided. Algorithms for sampling and illustrating vine copulas are also included.Non UBCUnreviewedAuthor affiliation: Technische Universitaet MuenchenGraduat