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I am studying R-vine copulas. Let $k$ denote the number of random variables the joint distribution of which we are modeling. R-vine breaks down the $k$-variate copula into $K$ bivariate copulas. I am trying to understand how $K$ is related to $k$.

Question: How many pairwise copulas are there in a $k$-dimensional R-vine?

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My guess is, $K=k(k-1)/2$.

The tree structure in Figure 1 of Dissmann et al. (2013) illustrates that an R-vine is represented by $k-1$ trees that have $k-1,k-2,\dots,1$ edges, respectively, where each edge stands for a pair copula. This is an arithmetic progression the sum of which is: $(k-1)+(k-2)+\dots+1=k(k-1)/2$.
(My uncertainty is, is this the general case, or is it just a special case. It seems to me it is the general case.)

Reference

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  • $\begingroup$ Yes, it is correct. $\endgroup$
    – Maryam
    Commented May 19, 2021 at 14:19
  • $\begingroup$ Kindly note that k(k-1)/2 is the rule for all vine copula models. However, and especially for high dimensional data, you may need to reduce the complexity of the model by truncating the vine model. $\endgroup$
    – Maryam
    Commented May 19, 2021 at 18:14
  • $\begingroup$ @Maryam, thank you! $\endgroup$ Commented May 19, 2021 at 18:39

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