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Document type:
Zeitungsartikel 
Author(s):
Killiches, M., Kraus, D., and Czado, C. 
Title:
Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas 
Abstract:
Vine copulas are a useful statistical tool to describe the dependence structure between several random variables, especially when the number of variables is very large. When modeling data with vine copulas, one often is confronted with a set of candidate models out of which the best one is supposed to be selected. For example, this may arise in the context of non-simplified vine copulas, truncations of vines and other simplifications regarding pair-copula families or the vine structure. With the...    »
 
Keywords:
Vine copulas, Kullback-Leibler distance, model selection, simplifying assumption, truncated vines 
Journal title:
Preprint 
Year:
2017 
Reviewed:
ja 
Language:
en 
WWW:
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TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text