Open AccessMathematics

K. Aas, C. Czado, A. Frigessi, Henrik Bakken

2009.4.1INSURANCE MATHEMATICS & ECONOMICS

DOI: 10.1016/j.insmatheco.2007.02.001

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.