For every n >= 3, a method is introduced and investigated for generating n-dimensional copulas starting with an (n - 1)-dimensional copula already known. These copulas are particularly useful when the behaviour of a random vector (X-1, X-2, ... , Xn-1) formed by n - 1 components is known, but another random variable, say X-n, should be included into the model. An illustration of the usefulness of this construction is presented, showing some of its computational features.
A method for constructing higher-dimensional copulas
Durante F;
2012-01-01
Abstract
For every n >= 3, a method is introduced and investigated for generating n-dimensional copulas starting with an (n - 1)-dimensional copula already known. These copulas are particularly useful when the behaviour of a random vector (X-1, X-2, ... , Xn-1) formed by n - 1 components is known, but another random variable, say X-n, should be included into the model. An illustration of the usefulness of this construction is presented, showing some of its computational features.File in questo prodotto:
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