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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Müller, Dominik; Czado, Claudia 
Titel:
Selection of sparse vine copulas in high dimensions with the Lasso 
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:
Seitenangaben Beitrag:
269-287 
Sprache:
en 
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