Vine Copula Specifications for Stationary Multivariate Markov Chains

Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models for stationary multivariate higher‐order Mar...

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Bibliographic Details
Published inJournal of time series analysis Vol. 36; no. 2; pp. 228 - 246
Main Authors Beare, Brendan K., Seo, Juwon
Format Journal Article
LanguageEnglish
Published Oxford Blackwell Publishing Ltd 01.03.2015
Subjects
Economic independence
Fashion
Markov analysis
Markovian processes
Multivariate analysis
Property
Stationarity
stationary Markov chains
Studies
Time series
Vine copulae
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Summary:Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models for stationary multivariate higher‐order Markov chains. We propose a new vine structure, the M‐vine, that is particularly well suited to this purpose. Stationarity may be imposed by requiring the equality of certain copulae in the M‐vine, while the Markov property may be imposed by requiring certain copulae to be independence copulae.
Bibliography:istex:B774CDE1A443E7AA84705595420BCFD8D62ACD17
ark:/67375/WNG-7Q5015PF-0
ArticleID:JTSA12103
ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:0143-9782
1467-9892
DOI:10.1111/jtsa.12103