Geodesic
Searching for optimal vine in pair-copula constructions
Matematičeskoe modelirovanie, Tome 28 (2016) no. 11, pp. 79-96

Voir la notice de l'article provenant de la source Math-Net.Ru

A procedure of searching for optimal vine in pair-copula constructions is developed. For these purposes vine space is endowed with a metric and a procedure, analogous to regular maximum log-likelihood algorithm, is proposed. It is shown that using this procedure helps to subsequently reduce number of checked vines at the moment of finding optimal vine, compared to full (or equivalently, random) examination of all possible vines.
Mots-clés : pair-copula constructions, optimal vine. 
@article{MM_2016_28_11_a5,
     author = {A. I. Travkin},
     title = {Searching for optimal vine in pair-copula constructions},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {79--96},
     publisher = {mathdoc},
     volume = {28},
     number = {11},
     year = {2016},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2016_28_11_a5/}
}
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A. I. Travkin. Searching for optimal vine in pair-copula constructions. Matematičeskoe modelirovanie, Tome 28 (2016) no. 11, pp. 79-96. http://geodesic.mathdoc.fr/item/MM_2016_28_11_a5/