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Vine Copula Specifications for Stationary Multivariate Markov Chains
Author(s) -
Beare Brendan K.,
Seo Juwon
Publication year - 2015
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12103
Subject(s) - vine copula , copula (linguistics) , markov chain , multivariate statistics , mathematics , econometrics , multivariate normal distribution , bivariate analysis , conditional independence , statistics
Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models for stationary multivariate higher‐order Markov chains. We propose a new vine structure, the M‐vine, that is particularly well suited to this purpose. Stationarity may be imposed by requiring the equality of certain copulae in the M‐vine, while the Markov property may be imposed by requiring certain copulae to be independence copulae.