Open AccessMathematics
K. Aas, C. Czado, A. Frigessi, Henrik Bakken
tlooto Summary
This work uses the pair-copula decomposition of a general multivariate distribution and proposes a method for performing inference, which represents the first step towards the development of an unsupervised algorithm that explores the space of possible pair-Copula models, that also can be applied to huge data sets automatically.
Abstract
Abstract is not available.
Citation format
AAS, K., et al. Pair-copula constructions of multiple dependence. INSURANCE MATHEMATICS & ECONOMICS, 2009, 44: 182–198.