Optimal Truncation of Vines

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Selection of Vine Copulas (2013, methodology): “Algorithm 5.2 (Outline of the Tree-by-Tree Sampling Algorithm) 1: Sample from the posterior distribution of the first tree, (T1,BT1 ,θ T1): see Algo- rithm 5.3.”
Pair-Copula Constructions of Multivariate Copulas (2010, background): “For regular vines this problem has been considered in [36].”
Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “8: end for Kurowicka (2011) proposes another method to generate R-vines.”
Truncated regular vines in high dimensions with application to financial data (2012, methodology): “Additionally, our approach allows to identify independence of variables based on a statistical test in contrast to the ad-hoc procedure of Kurowicka (2011).”
Selection strategies for regular vine copulae (2013, methodology): “In [Kurowicka, 2011] an algorithm is developed which allows to build up a valid R-vine tree structure from Tree d − 1 until Tree 1 by giving appropriate conditions for the selection of edges in Tree i given that Tree i + 1 is already speciﬁed.”
Pair-Copula Constructions for Financial Applications: A Review (2016, methodology): “Several methods have been proposed for determining the optimal truncation level; see, e.g., [27,48,49].”