Parameter Estimation in Simplified Regular Vine Copulas

Abstract

In the last chapter, we have seen how to design very flexible multivariate copulas. To make them useful for practise, we have now to tackle the problem of parameter estimation. For this, we will assume that the simplifying assumption holds throughout. We also suppose, that the vine copula model is completely specified by a given vine tree sequence, as well as, the pair copula families associated to each edge in the vine tree sequence. The problem of how to choose the pair copula families and how to select the vine structure will be treated in subsequent chapters.