User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Müller, Dominik; Czado, Claudia 
Title:
Selection of sparse vine copulas in high dimensions with the Lasso 
Abstract:
We propose a novel structure selection method for high-dimensional (d>100) sparse vine copulas. Current sequential greedy approaches for structure selection require calculating spanning trees in hundreds of dimensions and fitting the pair copulas and their parameters iteratively throughout the structure selection process. Our method uses a connection between the vine and structural equation models. The later can be estimated very fast using the Lasso, also in very high dimensions, to obtain spar...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Statistics and Computing 
Year:
2018 
Journal volume:
29 
Year / month:
2019-03 
Quarter:
1. Quartal 
Month:
Mar 
Journal issue:
Pages contribution:
269-287 
Language:
en 
Publisher:
Springer Science and Business Media LLC 
Print-ISSN:
0960-3174 
E-ISSN:
0960-31741573-1375 
Date of publication:
24.03.2018 
Semester:
WS 18-19 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text