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Title:

Bayesian inference for dynamic vine copulas in higher dimensions

Document type:
Zeitungsartikel
Author(s):
Kreuzer, A. and Czado, C.
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:
arxiv.org
Submitted:
02.11.2019
TUM Institution:
Professur für Angewandte Mathematische Statistik
Format:
Text
 BibTeX