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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Müller, D. and Czado C. 
Titel:
Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian Dependence 
Abstract:
Modeling dependence in high dimensional systems has become an increasingly important topic. Most approaches rely on the assumption of a joint Gaussian distribution such as statistical models on directed acyclic graphs (DAGs). They are based on modeling conditional independencies and are scalable to high dimensions. In contrast, vine copula based models can accommodate more elaborate features like tail dependence and asymmetry. This exibility comes however at the cost of exponentially increas...    »
 
Stichworte:
Graphical Models, Dependence Modeling, Vine Copula 
Zeitschriftentitel:
Preprint 
Jahr:
2016 
Reviewed:
ja 
Sprache:
en 
WWW:
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
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