I am looking for a gentle introduction into vine copulas and R-vines in particular.
(There is a related thread for copulas in general, but the answers there do not seem to contain an introduction into vine copulas.)
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asked Apr 17, 2021 at 18:53
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1 Answer
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- Textbook: Czado "Analyzing Dependent Data with Vine Copulas: A Practical Guide With R" (2019). R-vines are presented in chapters 5-9.
- Slides: Kramer & Schepsmeier "Introduction to vine copulas" (2011)
- Slides: Haff "How To Select A Good Vine" (2016)
- Wikipedia: quite detailed.
answered Apr 17, 2021 at 18:53