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Titel:

Selection of sparse vine copulas in high dimensions with the Lasso

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Müller, Dominik; Czado, Claudia
Abstract:
We propose a novel structure selection method for high-dimensional (d>100) sparse vine copulas. Current sequential greedy approaches for structure selection require calculating spanning trees in hundreds of dimensions and fitting the pair copulas and their parameters iteratively throughout the structure selection process. Our method uses a connection between the vine and structural equation models. The later can be estimated very fast using the Lasso, also in very high dimensions, to obtain spar...     »
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Statistics and Computing
Jahr:
2018
Band / Volume:
29
Jahr / Monat:
2019-03
Quartal:
1. Quartal
Monat:
Mar
Heft / Issue:
2
Seitenangaben Beitrag:
269-287
Sprache:
en
Volltext / DOI:
doi:10.1007/s11222-018-9807-5
Verlag / Institution:
Springer Science and Business Media LLC
Print-ISSN:
0960-3174
E-ISSN:
0960-31741573-1375
Publikationsdatum:
24.03.2018
Semester:
WS 18-19
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik
Format:
Text
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