User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Min, A. and Czado,C. 
Title:
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...    »
 
Keywords:
copula, D-vine, Metropolis-Hastings algorithm, pair-copula construction, reversible jump Markov chain Monte Carlo. 
Journal title:
Canadian Journal of Statistics 
Year:
2011 
Journal volume:
39 
Year / month:
2011-06 
Journal issue:
Pages contribution:
239–258 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text