Selection strategies for regular vine copulae

Claudia Czado, Stephan Jeske, Mathias Hofmann

Résumé


Regular vine (R-vine) copulae are a very flexible class of multivariate copulae, which have received
increasing interest in finance and insurance. We will introduce these copulae, discuss their scope and parameter
estimation. Since the class of R-vines is huge, model class selection is vital. Recently a top down and a bottom up
approach for model selection have been developed. We will discuss these approaches and introduce some useful
extensions based on using p-values of goodness-of-fit tests as selection weights. The use of R-vine copulae will be
illustrated for a data set involving log concentrations of chemicals in water samples. The performance of these selection
procedures are investigated through simulation.

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Creative Commons License
Ce travail est autorisé sous licence avec la Licence de paternité Creative Commons 3.0.

SFdS / SMF - Journal de la Société Française de Statistique - ISSN 2102-6238