Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
以 copula 连接单变量 D-vine 的多元时间序列建模
This article proposes a novel multivariate time series model named copula-linked univariate D-vines (CuDvine), which enables the simultaneous copula-based modeling of both temporal and cross-sectional dependence for multivariate time series. To construct CuDvine, we first build a semiparametric univariate D-vine time series model (uDvine) based on a D-vine. The uDvine generalizes the existing first-order copula-based Markov chain models to Markov chains of an…