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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Müller, D. and Czado, D. 
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 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...    »
 
Stichworte:
Dependence modeling, Directed acyclic graph, Graphical model, Vine copula 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Journal of Computational and Graphical Statistics 
Jahr:
2018 
Band / Volume:
27 
Jahr / Monat:
2018-05 
Quartal:
2. Quartal 
Monat:
May 
Heft / Issue:
Seitenangaben Beitrag:
334-344 
Sprache:
en 
Verlag / Institution:
Taylor & Francis 
Hinweise:
Published online 
Status:
Erstveröffentlichung 
Publikationsdatum:
21.05.2018 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text