“…Vine copulas provide a generic approach to construct multivariate joint distributions based on pair‐copula constructions, with the basic idea of decomposing the n ‐dimensional multivariate density function into
unconditional bivariate copulas and conditional bivariate copulas (Wang & Shen,
2023a). Since the introduction of R‐vine to arrange
pair‐copulas into
nested trees
(
) with
nodes joined by
edges (Bedford & Cooke,
2002), the optimal pair‐copula construction can be determined according to certain evaluation criteria (e.g., Kendall's tau).…”