Sequential Bayesian model selection of regular vine copulas

DOI10.1214/14-BA930zbMATH Open1335.62048arXiv1512.00976OpenAlexW3099878468MaRDI QIDQ273648FDOQ273648

Claudia Czado, Lutz Gruber

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student's t copula. This paper presents two contributions related to model selection of regular vine copulas. First, our pair copula family selection procedure extends existing Bayesian family selection methods by allowing pair families to be chosen from an arbitrary set of candidate families. Second, our method represents the first Bayesian model selection approach to include the regular vine density construction in its scope of inference. The merits of our approach are established in a simulation study that benchmarks against methods suggested in current literature. A real data example about forecasting of portfolio asset returns for risk measurement and investment allocation illustrates the viability and relevance of the proposed scheme.

Full work available at URL: https://arxiv.org/abs/1512.00976

zbMATH Keywords

graphical modelsmultivariate time seriesreversible jump MCMCmultivariate statisticsdependence modelsportfolio risk forecasting

Mathematics Subject Classification ID

Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited In (23)

• Detecting and modeling critical dependence structures between random inputs of computer models
• Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
• Selection of sparse vine copulas in high dimensions with the Lasso
• Bayesian model selection of regular vine copulas
• Specification of informative prior distributions for multinomial models using vine copulas
• Model selection for discrete regular vine copulas
• Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
• Pair Copula Constructions for Insurance Experience Rating
• A Bayesian hierarchical copula model
• Title not available (Why is that?)
• Selection of Vine Copulas
• Multivariate distributions of correlated binary variables generated by pair-copulas
• Pair-copula models for analyzing family data
• Agent-based modeling in medical research, virtual baseline generator and change in patients' profile issue
• Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence
• Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
• On the quantification and efficient propagation of imprecise probabilities with copula dependence
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• Bayesian sequential design for copula models
• Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
• A mixture of regular vines for multiple dependencies
• Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
• A goodness-of-fit test for regular vine copula models

Uses Software

• Boost C++ Libraries
• COIN-OR
• CDVine
• Boost
• QRM

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