Vines Arise

Cooke, Roger M and Joe, Harry and Aas, Kjersti (2010) Vines Arise. In: Dependence Modeling. World Scientific Publishing Company, pp. 37-72. ISBN 978-9814299879

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Abstract

An introduction to the main idea of vines as graphical models is presented, with various notation and graphs for representing vines. The early history of vines is summarized, together with motivation for their construction. The relation to compatibility of subsets of marginal distributions is given to provide some intuition. Important properties and applications of vines are included.

Author(s):Cooke, Roger M, Joe, Harry and Aas, Kjersti
Item type:Book Section
ID code:45329
Keywords:vine copula, graphical tools, regular vines, Risk Management, Management Science and Operations Research
Subjects:Social Sciences > Industries. Land use. Labor > Risk Management
Department:Strathclyde Business School > Management Science
Depositing user: Pure Administrator
Date deposited:23 Oct 2013 10:47
Last modified:08 Jan 2020 17:01
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URI:https://strathprints.strath.ac.uk/id/eprint/45329
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