Pair-copula constructions for non-Gaussian DAG models

DOI10.1002/CJS.10131zbMath1236.62044OpenAlexW2015220578MaRDI QIDQ3225772

Thomas Klein, Claudia Czado, Alexander Max Bauer

Publication date: 22 March 2012

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://mediatum.ub.tum.de/doc/1079263/document.pdf

zbMATH Keywords

Bayesian networkscopulasgraphical modelsconditional independencelikelihood inferenceregular vines

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Directed graphs (digraphs), tournaments (05C20)

Related Items (12)

Nonparametric estimation of pair-copula constructions with the empirical pair-copula ⋮ Regular vines with strongly chordal pattern of (conditional) independence ⋮ Default probability estimation via pair copula constructions ⋮ The shifting dependence dynamics between the G7 stock markets ⋮ Structure learning in Bayesian networks using regular vines ⋮ Non-parametric Bayesian networks for parameter estimation in reservoir simulation: a graphical take on the ensemble Kalman filter. I ⋮ Simplified pair copula constructions -- limitations and extensions ⋮ A Bayesian network to analyse basketball players' performances: a multivariate copula-based approach ⋮ Copula directed acyclic graphs ⋮ Mixture of D-vine copulas for modeling dependence ⋮ Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence ⋮ Selection of Vine Copulas

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