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 within 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.
翻译:藤Copula模型已成为建模多元依赖关系的高度流行的实用工具。为保持可处理性,一种常用的简化假设是条件Copula不随条件变量改变。这一假设在Copula研究领域引发了某种程度上的两极分化争论。由于大量争议发生在公开记录之外,该领域陷入不利境地,阻碍了科学进展。本文将综述我们对简化藤Copula模型灵活性与局限性的现有认知,探讨其更广泛的影响,并就该问题提出个人见解,以期提供具有调和性的视角。