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Simplified Vine Copula Models: State of Science and Affairs

MCML Authors

Thomas Nagler

Prof. Dr.

Principal Investigator

Computational Statistics & Data Science

Abstract

Vine copula models have become highly popular practical tools for modeling multivariate dependencies. To maintain tractability, a commonly employed simplifying assumption is that conditional copulas remain unchanged by the conditioning variables. This assumption has sparked a somewhat polarizing debate in the copula community. The fact that much of this dispute occurs outside the public record has placed the field in an unfortunate position, impeding scientific progress. In this article, I will review what we know about the flexibility and limitations of simplified vine copula models, explore the broader implications, and offer my own, hopefully reconciling, perspective on the issue.

article Nag25