Approximation multivariate distribution with pair copula using the orthonormal polynomial and Legendre multiwavelets basis functions

DOI10.1080/03610918.2013.804557zbMATH Open1337.62116arXiv1210.7485OpenAlexW1775360069MaRDI QIDQ2809615FDOQ2809615

Authors: A. Daneshkhah, G. Parham, O. Chatrabgoun, Meysam Jokar 

Publication date: 30 May 2016

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Abstract: In this paper, we concentrate on new methodologies for copulas introduced and developed by Joe, Cooke, Bedford, Kurowica, Daneshkhah and others on the new class of graphical models called vines as a way of constructing higher dimensional distributions. We develop the approximation method presented by Bedford et al (2012) at which they show that any $n$-dimensional copula density can be approximated arbitrarily well pointwise using a finite parameter set of 2-dimensional copulas in a vine or pair-copula construction. Our constructive approach involves the use of minimum information copulas that can be specified to any required degree of precision based on the available data or experts' judgements. By using this method, we are able to use a fixed finite dimensional family of copulas to be employed in a vine construction, with the promise of a uniform level of approximation. The basic idea behind this method is to use a two-dimensional ordinary polynomial series to approximate any log-density of a bivariate copula function by truncating the series at an appropriate point. We present an alternative approximation of the multivariate distribution of interest by considering orthonormal polynomial and Legendre multiwavelets as the basis functions. We show the derived approximations are more precise and computationally faster with better properties than the one proposed by Bedford et al. (2012). We then apply our method to modelling a dataset of Norwegian financial data that was previously analysed in the series of papers, and finally compare our results by them.

Full work available at URL: https://arxiv.org/abs/1210.7485

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zbMATH Keywords

pair-copula constructionvineLegendre multiwaveletsdensity approximationminimum information techniqueorthonormal polynomial series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Pair-copula constructions of multiple dependence
• Generalized autoregressive conditional heteroscedasticity
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Vines -- a new graphical model for dependent random variables.
• On a measure of lack of fit in time series models
• Entropy minimization, \(DAD\) problems, and doubly stochastic kernels
• Solution of Hallen's integral equation using multiwavelets
• Adaptive solution of partial differential equations in multiwavelet bases
• Minimally informative distributions with given rank correlation for use in uncertainty analysis

Cited In (4)

• Title not available (Why is that?)
• Use of Legendre multiwavelets to solve Carleman type singular integral equations
• A Legendre multiwavelets approach to copula density estimation
• Optimizing minimum information pair-copula using genetic algorithm to select optimal basis functions

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