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Document type:
Zeitungsartikel 
Author(s):
Kreuzer, A. and Czado, C. 
Title:
Bayesian inference for dynamic vine copulas in higher dimensions 
Abstract:
We propose a class of dynamic vine copula models. This is an extension of static vine copulas and a generalization of dynamic C-vine and D-vine copulas studied by Almeida et al (2016) and Goel and Mehra (2019). Within this class, we allow for time-varying dependence by driving the vine copula parameters with latent AR(1) processes. This modeling approach is very flexible but estimation is not straightforward due to the high-dimensional parameter space. We propose a Bayesian estimation approach,...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2019 
Year / month:
2019-11 
Quarter:
4. Quartal 
Month:
Nov 
Language:
en 
WWW:
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text