Selection of sparse vine copulas in high dimensions with the Lasso
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Publication:2329765
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 (SEMs). The later can be estimated very fast using the Lasso, also in very high dimensions, to obtain sparse models. Thus, we obtain a structure estimate independently of the chosen pair copulas and parameters. Additionally, we define the novel concept of regularization paths for R-vine matrices. It relates sparsity of the vine copula model in terms of independence copulas to a penalization coefficient in the structural equation models. We illustrate our approach and provide many numerical examples. These include simulations and data applications in high dimensions, showing the superiority of our approach to other existing methods.
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Cited in
(13)- Model selection for discrete regular vine copulas
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Dependence structure estimation using copula recursive trees
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