Selection of Regular Vine Copula Models

Abstract

The full specification of a vine copula model requires the choice of a vine tree structure, copula families for each pair copula term and their corresponding parameters. In this chapter, we discuss different frequentist selection and estimation approaches. The three-layered definition of a regular vine copula leads to three fundamental estimation and selection tasks: 1.Estimation of copula parameters for a chosen vine tree structure and chosen pair copula families for each edge in the vine tree structure,2.Selection of the parametric copula family for each pair copula term and estimation of the corresponding parameters for a chosen vine tree structure,3.Selection and estimation of all three model components.