Sequential truncation of R-vine copula mixture model for high-dimensional datasets
Summary: Uncovering hidden mixture dependencies among variables has been investigated in the literature using mixture \(R\)-vine copula models. They provide considerable flexibility for modeling multivariate data. As the dimensions increase, the number of the model parameters that need to be estimated is increased dramatically, which comes along with massive computational times and efforts. This situation becomes even much more complex and complicated in the regular vine copula mixture models. Incorporating the truncation method with a mixture of regular vine models will reduce the computation difficulty for the mixture-based models. In this paper, the tree-by-tree estimation mixture model is joined with the truncation method to reduce computational time and the number of parameters that need to be estimated in the mixture vine copula models. A simulation study and real data applications illustrated the performance of the method. In addition, the real data applications show the effect of the mixture components on the truncation level.
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- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- Mixture of D-vine copulas for modeling dependence
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- Selection of vine copulas
- Sequential Bayesian model selection of regular vine copulas
- Truncated regular vines in high dimensions with application to financial data
- Truncation of vine copulas using fit indices
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vines -- a new graphical model for dependent random variables.
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