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Document type:
Zeitungsartikel 
Author(s):
Müller, D. and Czado, D. 
Title:
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 multivariate 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 models accommodate more elaborate features like tail dependence and asymmetry, as well as independent modeling of the marginals. This flexibility comes...    »
 
Keywords:
Dependence modeling, Directed acyclic graph, Graphical model, Vine copula 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Journal of Computational and Graphical Statistics 
Year:
2018 
Journal volume:
27 
Year / month:
2018-05 
Quarter:
2. Quartal 
Month:
May 
Journal issue:
Pages contribution:
334-344 
Language:
en 
Publisher:
Taylor & Francis 
Notes:
Published online 
Status:
Erstveröffentlichung 
Date of publication:
21.05.2018 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text