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Titel:

Truncated regular vines in high dimensions with applications to financial data

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
multivariate copula, regular vines, truncated canonical vines, simplified vines
Zeitschriftentitel:
Canadian Journal of Statistics
Jahr:
2012
Band / Volume:
40
Jahr / Monat:
2012-03
Quartal:
1. Quartal
Monat:
Oct
Heft / Issue:
1
Seitenangaben Beitrag:
68-85
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/cjs.10141
Semester:
WS 11-12
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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