Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Min, A.; Czado, C. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Bayesian model selection for multivariate copulas using pair-copula constructions 
Abstract:
In recent years analyses of dependence structures using copulas have become more popular than the standard correlation analysis. Starting from Aas, Czado, Frigessi & Bakken (2009) regular vine pair-copula constructions (PCCs) are considered the most flexible class of multivariate copulas. PCCs are involved objects but (conditional) independence present in data can simplify and reduce them significantly. In this paper the authors detect (conditional) independence in a particular vine PCC model based on bivariate t copulas by deriving and implementing a reversible jump Markov chain Monte Carlo algorithm. However the methodology is general and can be extended to any regular vine PCC and to all known bivariate copula families. The proposed approach considers model selection and estimation problems for PCCs simultaneously. The effectiveness of the developed algorithm is shown in simulations and its usefulness is illustrated in two real data applications. 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Canadian Journal of Statistics 
Jahr:
2011 
Band / Volume:
39(2) 
Seitenangaben Beitrag:
239-258 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein