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Title:

Bayesian model selection of regular vine copulas

Document type:
Buchbeitrag
Author(s):
Gruber, L., and Czado C.
Abstract:
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student’s t copula. We present reversible jump Markov chain Monte Carlo algorithms to estimate the joint posterior distribution of the density factorization, pair copula families, and parameters of a regular vine copula. A simulation study shows that our algorithms outperform model selection methods suggested in the current literature and succeed in selecting the true...     »
Editor:
Ettore Lanzarone, Francesca Ieva
Book title:
The Contribution of Young Researchers to Bayesian Statistics
Volume:
63
Publisher:
Springer
Year:
2014
Pages:
177-180
Print-ISBN:
978-3-319-02083-9, 978-3-319-34307-5
Reviewed:
ja
Language:
en
WWW:
http://link.springer.com/chapter/10.1007/978-3-319-02084-6_34
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX