Selection of Vine Copulas

Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of a vine tree structure, the copula families for each pair copula term and their corresponding parameters. In this survey we discuss the different approaches, both frequentist and Bayesian, for these model choices so far and point to open problems.

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