Bayesian model selection for multivariate copulas using pair-copula constructions

Min, A.; Czado, C.

Document type:: Zeitschriftenaufsatz
Author(s):: Min, A.; Czado, C.
Non-TUM Co-author(s):: ja
Cooperation:: -
Title:: 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
Journal title:: Canadian Journal of Statistics
Year:: 2011
Journal volume:: 39(2)
Pages contribution:: 239-258
Reviewed:: ja
Language:: en
Semester:: SS 02
Format:: Text
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
Commissioned:: not commissioned
Professional Journal:: Nein
BibTeX

versions