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Title:

Truncated regular vines in high dimensions with applications to financial data

Document type:
Zeitschriftenaufsatz
Author(s):
Brechmann, E.C., Czado, C. and Aas, K.
Abstract:
Using only bivariate copulas as building blocks, regular vines constitute a exible class of high-dimensional dependency models. However, the exibility comes along with an exponentially increasing complexity in larger dimensions. In order to counteract this problem, we propose using statistical model selection techniques to either truncate or simplify a regular vine. As a special case, we consider the simplification of a canonical vine using a multivariate copula as previously treated by Heinen...     »
Keywords:
multivariate copula, regular vines, truncated canonical vines, simplified vines
Journal title:
Canadian Journal of Statistics
Year:
2012
Journal volume:
40
Year / month:
2012-03
Quarter:
1. Quartal
Month:
Oct
Journal issue:
1
Pages contribution:
68-85
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1002/cjs.10141
Semester:
WS 11-12
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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