[New copulas] Vines Copulas

[lrnv]

It would be nice to propose vines copulas.

Step One would be to find a right source to devise the code structure necessary to iplement such models.

Step Two would be to implement the class and the samplers.

Step Three would be to propose an estimation procedure, if possible generic enough :

• maybe one estimation procedure to estimate the structure itself, see Uytendale or some name like that%.
• and then another one, given the structure, to estimate each of the conditional copulas ? BTW, w need ot be able to devise conditional copulas for that to work correctly.