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Title:

Representing Sparse Gaussian DAGs as Sparse R-vines Allowing for Non-Gaussian Dependence

Document type:
Zeitungsartikel
Author(s):
Müller, D. and Czado, D.
Abstract:
Modeling dependence in high dimensional systems has become an increasingly important topic. Most approaches rely on the assumption of a multivariate Gaussian distribution such as statistical models on directed acyclic graphs (DAGs). They are based on modeling conditional independencies and are scalable to high dimensions. In contrast, vine copula models accommodate more elaborate features like tail dependence and asymmetry, as well as independent modeling of the marginals. This flexibility comes...     »
Keywords:
Dependence modeling, Directed acyclic graph, Graphical model, Vine copula
Dewey Decimal Classification:
510 Mathematik
Journal title:
Journal of Computational and Graphical Statistics
Year:
2018
Journal volume:
27
Year / month:
2018-05
Quarter:
2. Quartal
Month:
May
Journal issue:
2
Pages contribution:
334-344
Language:
en
Fulltext / DOI:
doi:10.1080/10618600.2017.1366911
WWW:
Journal of Computational and Graphical Statistics
Publisher:
Taylor & Francis
Notes:
Published online
Status:
Erstveröffentlichung
Date of publication:
21.05.2018
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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