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Mixture of D-vine copulas for modeling dependence
Computational Statistics and Data Analysis
  • Jong Min Kim, University of Minnesota Morris
  • Daeyoung Kim, University of Massachusetts Amherst
  • Shu Min Liao, Amherst College
  • Yoon Sung Jung, Prairie View A&M University
Document Type
Article
Abstract

The identification of an appropriate multivariate copula for capturing the dependence structure in multivariate data is not straightforward. The reason is because standard multivariate copulas (such as the multivariate Gaussian, Student-t, and exchangeable Archimedean copulas) lack flexibility to model dependence and have other limitations, such as parameter restrictions. To overcome these problems, vine copulas have been developed and applied to many applications. In order to reveal and fully understand the complex and hidden dependence patterns in multivariate data, a mixture of D-vine copulas is proposed incorporating D-vine copulas into a finite mixture model. As a D-vine copula has multiple parameters capturing the dependence through iterative construction of pair-copulas, the proposed model can facilitate a comprehensive study of complex and hidden dependence patterns in multivariate data. The proposed mixture of D-vine copulas is applied to simulated and real data to illustrate its performance and benefits. © 2013 Elsevier B.V. All rights reserved.

DOI
10.1016/j.csda.2013.02.018
Publication Date
4-2-2013
Citation Information
Jong Min Kim, Daeyoung Kim, Shu Min Liao and Yoon Sung Jung. "Mixture of D-vine copulas for modeling dependence" Computational Statistics and Data Analysis Vol. 64 (2013) p. 1 - 19 ISSN: 01679473
Available at: http://works.bepress.com/yoonsung-jung/7/