Vines -- a new graphical model for dependent random variables.

DOI10.1214/aos/1031689016zbMath1101.62339WikidataQ56865712 ScholiaQ56865712MaRDI QIDQ1848964

Roger M. Cooke, Tim Bedford

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1031689016

zbMATH Keywords

information; Correlation; Monte Carlo simulation; multivariate normal distribution; dependence; multivariate probability distribution; tree dependence; Markov tree; belief net

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

05C05: Trees

62H05: Characterization and structure theory for multivariate probability distributions; copulas

05C90: Applications of graph theory

Related Items

Pair-copula constructions of multiple dependence, Finite normal mixture copulas for multivariate discrete data modeling, Generating random correlation matrices based on vines and extended onion method, Completion problem with partial correlation vines, On the simplified pair-copula construction -- simply useful or too simplistic?, Mining and visualising ordinal data with non-parametric continuous BBNs, Constructing hierarchical archimedean copulas with Lévy subordinators, Sampling algorithms for generating joint uniform distributions using the Vine-Copula method, Tail dependence functions and vine copulas, A parameterization of positive definite matrices in terms of partial correlation vines, Statistical dependence through common risk factors: With applications in uncertainty analysis, A practical model of Heineken's bottle filling line with dependent failures, Generalized diagonal band copulas, An empirical analysis of multivariate copula models

Uses Software

• Linkages

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