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Document type:
Buchbeitrag 
Author(s):
Gruber, L., and Czado C. 
Title:
Bayesian model selection of regular vine copulas 
Abstract:
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student’s t copula. We present reversible jump Markov chain Monte Carlo algorithms to estimate the joint posterior distribution of the density factorization, pair copula families, and parameters of a regular vine copula. A simulation study shows that our algorithms outperform model selection methods suggested in the current literature and succeed in selecting the true...    »
 
Editor:
Ettore Lanzarone, Francesca Ieva 
Book title:
The Contribution of Young Researchers to Bayesian Statistics 
Volume:
63 
Publisher:
Springer 
Year:
2014 
Pages:
177-180 
Print-ISBN:
978-3-319-02083-9, 978-3-319-34307-5 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text