This thesis contributes to research in multivariate statistics by developing regular vine copula-based models that are more flexible and provide improved model fit. The main focus of the research is on mixture pair-copula based models as they can describe a range of multivariate dependency patterns. The research makes four main contributions related to the new models and provides mathematical and numerical results that showcase the advantages of the proposed approaches
Abstract: It is often very difficult to accurately measure dependence structure in multivariate dist...
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...
The identification of an appropriate multivariate copula for capturing the dependence structure in m...
To uncover complex hidden dependency structures among variables, researchers have used a mixture of ...
This textbook provides a step-by-step introduction to the class of vine copulas, their statistical i...
Recently, there has been an increasing interest on the combination of copulas with a finite mixture ...
Copulas are important models that allow to capture the dependence among variables. There are many ty...
Dependence Modeling with Copulas covers the substantial advances that have taken place in the field ...
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian dist...
A pair-copula construction is a decomposition of a multivariate copula into a structured system, cal...
In recent years, conditional copulas, that allow dependence between variables to vary according to t...
In this talk, the R-package VineCopula will be presented and illustrated by means of an example data...
Copulas enable flexible parameterization of multivariate distributions in terms of constituent margi...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...
Abstract: It is often very difficult to accurately measure dependence structure in multivariate dist...
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...
The identification of an appropriate multivariate copula for capturing the dependence structure in m...
To uncover complex hidden dependency structures among variables, researchers have used a mixture of ...
This textbook provides a step-by-step introduction to the class of vine copulas, their statistical i...
Recently, there has been an increasing interest on the combination of copulas with a finite mixture ...
Copulas are important models that allow to capture the dependence among variables. There are many ty...
Dependence Modeling with Copulas covers the substantial advances that have taken place in the field ...
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian dist...
A pair-copula construction is a decomposition of a multivariate copula into a structured system, cal...
In recent years, conditional copulas, that allow dependence between variables to vary according to t...
In this talk, the R-package VineCopula will be presented and illustrated by means of an example data...
Copulas enable flexible parameterization of multivariate distributions in terms of constituent margi...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...
Abstract: It is often very difficult to accurately measure dependence structure in multivariate dist...
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...