Searching for optimal vine in pair-copula constructions

A procedure of searching for optimal vine in pair-copula constructions is developed. For these purposes vine space is endowed with a metric and a procedure, analogous to regular maximum log-likelihood algorithm, is proposed. It is shown that using this procedure helps to subsequently reduce number of checked vines at the moment of finding optimal vine, compared to full (or equivalently, random) examination of all possible vines.