Common sampling orders of regular vines with application to model selection

DOI10.1016/j.csda.2019.106811OpenAlexW2964033440WikidataQ127457692 ScholiaQ127457692MaRDI QIDQ2008096

Gabriela F. Nane, Dorota Kurowicka, Kailun Zhu

Publication date: 22 November 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2019.106811

zbMATH Keywords

copuladependence modelingregular vine copula

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (2)

Simplified R-vine based forward regression ⋮ A geometric investigation into the tail dependence of vine copulas

Cites Work

• Selecting and estimating regular vine copulae and application to financial returns
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Simplified pair copula constructions -- limitations and extensions
• Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
• Vines -- a new graphical model for dependent random variables.
• Sampling, conditionalizing, counting, merging, searching regular vines
• Simplified vine copula models: approximations based on the simplifying assumption
• Dependence structures for multivariate high-frequency data in finance
• Remarks on a Multivariate Transformation

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