Copula theory

Definition: Conditioning tree

Let $(X_{1},\ldots,X_{d})$ be a random vector with distribution given by a pair copula construction. For each $X_{i}\in (X_{1},\ldots,X_{d})$ the conditioning tree $\mathfrak{T}(X_{i}, PCC)$ represents all analytically accessible conditional distributions of $X_{i}$ in vine $PCC$.

Visualization

graphviz, d3

Data representations

• CondTreePaths: -> close to conditioning sets
• CondTreeParNot: -> concise -> easy for graphViz
• CondTreeHier: -> close to JSON -> good for d3
• CondTreeIncid: -> close to graphs
• CondTreeAdja: -> close to graphs