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Document type:
Zeitungsartikel 
Author(s):
Müller, D. and Czado C. 
Title:
Selection of Sparse Vine Copulas in High Dimensions with the Lasso 
Abstract:
We propose a novel structure selection method for high dimensional (d > 100) sparse vine copulas. Current sequential greedy approaches for structure selection require calculating spanning trees in hundreds of dimensions and fitting the pair copulas and their parameters iteratively throughout the structure selection process. Our method uses a connection between the vine and structural equation models (SEMs). The later can be estimated very fast using the Lasso, also in very high dimensions, to ob...    »
 
Keywords:
Dependence Modeling, Vine Copula, Lasso, Sparsity 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Statistics and Computing 
Year:
2019 
Journal volume:
29 
Year / month:
2019-03 
Quarter:
1. Quartal 
Month:
Mar 
Journal issue:
Pages contribution:
269-287 
Reviewed:
ja 
Language:
en 
WWW:
_blank 
Publisher:
Springer US 
Publisher address:
New York, NY 
Print-ISSN:
0960-3174 
E-ISSN:
1573-1375 
Status:
Erstveröffentlichung 
Date of publication:
15.03.2019 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text