The goal is to construct multivariate distributions using only bivariate building blocks. The appropriate tool to obtain such a construction is to use conditioning. (Rüschendorf, Schweizer and Taylor (Ed.), Distributions with Fixed Marginals and Related Topics, 1996) Joe (1996) gave the first pair copula construction of a multivariate copula in terms of distribution functions, while (Proceedings of ESREL2001. Turin, Italy, 2001) Bedford and Cooke (2001), (Annals of Statistics, 30(4):1031–1068, 2002) Bedford and Cooke (2002) independently developed constructions expressed in terms of densities. Additionally they provided a general framework to identify all possible constructions.
CITATION STYLE
Czado, C. (2019). Pair Copula Decompositions and Constructions. In Lecture Notes in Statistics (Vol. 222, pp. 77–93). Springer Science and Business Media, LLC. https://doi.org/10.1007/978-3-030-13785-4_4
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