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tnagler / VineCopula

Statistical inference of vine copulas
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Copula diagnostics before vine selection #18

Closed ulf85 closed 7 years ago

ulf85 commented 8 years ago

Some suggestions by Harry Joe: one can do some simple copula diagnostics before one selects the vine or the copula family. For example, as we already do, one estimates Kendall's tau to shrink the families to the positive or negative correlated ones. Similar with tail dependence. In particular asymmetries. Further ideas are given in a short tech report.

Planned, if at all, for version > 2.1

tnagler commented 7 years ago

This was already implement in v2.0.0 (presel = TRUE argument).