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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Killiches, M., Kraus, D., and Czado, C. 
Titel:
Model distances for vine copulas in high dimensions 
Abstract:
Vine copulas are a flexible class of dependence models consisting of bivariate building blocks and have proven to be particularly useful in high dimensions. Classical model distance measures require multivariate integration and thus suffer from the curse of dimensionality. In this paper, we provide numerically tractable methods to measure the distance between two vine copulas even in high dimensions. For this purpose, we consecutively develop three new distance measures based on the Kullback–Lei...    »
 
Stichworte:
Vine copulas, Model distances, Kullback–Leibler, Jeffreys distance, Monte Carlo integration 
Zeitschriftentitel:
Statistics and Computing 
Jahr:
2017 
Jahr / Monat:
2017-02 
Quartal:
1. Quartal 
Monat:
Feb 
Seitenangaben Beitrag:
1–19 
Reviewed:
ja 
Sprache:
en 
WWW:
_blank 
Verlag / Institution:
Springer 
Print-ISSN:
0960-3174 
E-ISSN:
1573-1375 
Status:
Erstveröffentlichung 
Angenommen (von Zeitschrift):
30.01.2017 
Publikationsdatum:
11.02.2017 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text