A Time-Varying Vine Copula Model for Dependence Analysis of Failure System

A multivariate approach, called time-varying vine copula, for dependence analysis of complex system is proposed in this paper. The complex system will face the challenges of high-dimensional coupling and changes of dependence overtime. So we proposed an approach that includes the time-varying and vine model, which are used to be described change of parameters with time and to overcome the decomposition of high-dimensional joint distribution respectively. Specifically, three kinds of time-varying parameter model are used in this paper. In short, the aims of this approach are combining vine model and time-varying bivariate copulas, and then extending it to application in failure dependence system.