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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Gruber, L. and Czado, D. 
Titel:
Bayesian Model Selection of Regular Vine Copulas 
Abstract:
Regular vine copulas are a flexible class of dependence models, but Bayesian methodology for model selection and inference is not yet fully developed. We propose sparsity-inducing but otherwise non-informative priors, and present novel proposals to enable reversible jump Markov chain Monte Carlo posterior simulation for Bayesian model selection and inference. Our method is the first to jointly estimate the posterior distribution of all trees of a regular vine copula. This represents a substantia...    »
 
Stichworte:
multivariate analysis, dependence modeling, copula modeling, vine copulas, Bayesian inference, posterior simulation, importance sampling, simulation studies, financial analysis, risk forecasting 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Bayesian Analysis 
Jahr:
2018 
Band / Volume:
13 
Jahr / Monat:
2018-01 
Quartal:
1. Quartal 
Monat:
Jan 
Heft / Issue:
Seitenangaben Beitrag:
1111-1135 
WWW:
_blank 
Verlag / Institution:
Int Soc Bayesian Analysis 
Hinweise:
Published online 
Publikationsdatum:
12.01.2018 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text