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Matem. Mod., 2016, Volume 28, Number 11, Pages 79–96 (Mi mm3788)  

This article is cited in 1 scientific paper (total in 1 paper)

Searching for optimal vine in pair-copula constructions

A. I. Travkin

NRU HSE

Abstract: A procedure of searching for optimal vine in pair-copula constructions is developed. For these purposes vine space is endowed with a metric and a procedure, analogous to regular maximum log-likelihood algorithm, is proposed. It is shown that using this procedure helps to subsequently reduce number of checked vines at the moment of finding optimal vine, compared to full (or equivalently, random) examination of all possible vines.

Keywords: pair-copula constructions, optimal vine.

Full text: PDF file (439 kB)
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Received: 10.11.2014

Citation: A. I. Travkin, “Searching for optimal vine in pair-copula constructions”, Matem. Mod., 28:11 (2016), 79–96

Citation in format AMSBIB
\Bibitem{Tra16}
\by A.~I.~Travkin
\paper Searching for optimal vine in pair-copula constructions
\jour Matem. Mod.
\yr 2016
\vol 28
\issue 11
\pages 79--96
\mathnet{http://mi.mathnet.ru/mm3788}
\elib{https://elibrary.ru/item.asp?id=28119127}


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    This publication is cited in the following articles:
    1. L. E. Melkumova, S. Ya. Shatskikh, “Vosproizvodimost uslovnykh kvantilei mnogomernykh raspredelenii i uproschennaya konstruktsiya iz parnykh kopul”, Teoriya veroyatn. i ee primen., 66:1 (2021), 196–208  mathnet  crossref
  • Математическое моделирование
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