We describe a new algorithm for the computation of the score function and observed information in regular vine (R-vine) copula models. R-vine copulas are constructed hierarchically from bivariate copulas as building blocks only, and the algorithm exploits this hierarchical nature for subsequent...

Joint modeling of multiple health related random variables is essential to develop an understanding for the public health consequences of an aging population. This is particularly true for patients suffering from multiple chronic diseases. The contribution is to introduce a novel model for...

Misperceptions about extreme dependencies between different financial assets have been an important element of the recent financial crisis, which is why regulating entities do now require financial institutions to account for different behavior under market stress. Such sudden switches in...

So-called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models. To keep them tractable for inference and model selection, the simplifying assumption, that copulas of...