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Titel:

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

Dokumenttyp:
Zeitungsartikel
Autor(en):
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...     »
Stichworte:
Dependence modeling, Directed acyclic graph, Graphical model, Vine copula
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Journal of Computational and Graphical Statistics
Jahr:
2018
Band / Volume:
27
Jahr / Monat:
2018-05
Quartal:
2. Quartal
Monat:
May
Heft / Issue:
2
Seitenangaben Beitrag:
334-344
Sprache:
en
Volltext / DOI:
doi:10.1080/10618600.2017.1366911
WWW:
Journal of Computational and Graphical Statistics
Verlag / Institution:
Taylor & Francis
Hinweise:
Published online
Status:
Erstveröffentlichung
Publikationsdatum:
21.05.2018
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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