Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines
Annals of Mathematics and Artificial Intelligence
Asymptotic efficiency of the two-stage estimation method for copula-based models
Journal of Multivariate Analysis
Comparison of semiparametric and parametric methods for estimating copulas
Computational Statistics & Data Analysis
Tail dependence functions and vine copulas
Journal of Multivariate Analysis
On the simplified pair-copula construction - Simply useful or too simplistic?
Journal of Multivariate Analysis
Beyond simplified pair-copula constructions
Journal of Multivariate Analysis
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We compare two of the most used estimators for the parameters of a pair-copula construction (PCC), namely the semiparametric (SP) and the stepwise semiparametric (SSP) estimators. By construction, the computational speed of the SSP estimator is considerably higher, at the expense of its asymptotic efficiency. Based on an extensive simulation study, we find that the performance of the SSP estimator is overall satisfactory compared to its contender. SSP loses some efficiency with respect to SP with increasing dependence, especially in the top levels of the PCC. On the other hand, the SSP estimator may suffer less under reduced sample sizes and misspecification of the model. Finally, it is the only real alternative for large-dimensional problems. Though it struggles with the top level parameters, the lower order dependences of the resulting estimated PCC mimic the true distribution well. All in all, this study supports the use of SSP in most applications.