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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Min, A. and Czado,C. 
Titel:
Bayesian model selection for D-vine 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, and 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...    »
 
Stichworte:
copula, D-vine, Metropolis-Hastings algorithm, pair-copula construction, reversible jump Markov chain Monte Carlo. 
Zeitschriftentitel:
Canadian Journal of Statistics 
Jahr:
2011 
Band / Volume:
39 
Jahr / Monat:
2011-06 
Heft / Issue:
Seitenangaben Beitrag:
239–258 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text