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Titel:

Bayesian model selection for D-vine pair-copula constructions.

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Min, A. and Czado,C.
Abstract:
In recent years analyses of dependence structures using copulas have become more popular than the standard correlation analysis. Starting from Aas, Czado, Frigessi, and Bakken (2009) regular vine pair-copula constructions (PCCs) are considered the most flexible class of multivariate copulas. PCCs are involved objects but (conditional) independence present in data can simplify and reduce them significantly. In this paper the authors detect (conditional) independence in a particular vine PCC...     »
Stichworte:
copula, D-vine, Metropolis-Hastings algorithm, pair-copula construction, reversible jump Markov chain Monte Carlo.
Zeitschriftentitel:
Canadian Journal of Statistics
Jahr:
2011
Band / Volume:
39
Jahr / Monat:
2011-06
Heft / Issue:
2
Seitenangaben Beitrag:
239–258
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/cjs.10098
Status:
Verlagsversion / published
Semester:
SS 10
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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