Bayesian model selection for D-vine pair-copula constructions
From MaRDI portal
Publication:3087589
DOI10.1002/CJS.10098zbMATH Open1219.62048OpenAlexW2150604200MaRDI QIDQ3087589FDOQ3087589
Authors: Aleksey Min, Claudia Czado 
Publication date: 16 August 2011
Published in: The Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.10098
Recommendations
Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
- Pair-copula constructions of multiple dependence
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- An introduction to copulas. Properties and applications
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Title not available (Why is that?)
- Title not available (Why is that?)
- Multivariate Dispersion Models Generated From Gaussian Copula
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Comparison of semiparametric and parametric methods for estimating copulas
- Efficient Bayesian inference for Gaussian copula regression models
- Elliptical copulas: Applicability and limitations.
- Bayesian computation and stochastic systems. With comments and reply.
- Vines -- a new graphical model for dependent random variables.
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- The t Copula and Related Copulas
- Statistical inference for multivariate residual copula of GARCH models
- An empirical analysis of multivariate copula models
- Title not available (Why is that?)
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Monte Carlo sampling methods using Markov chains and their applications
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Copula–Based Models for Financial Time Series
- Understanding Relationships Using Copulas
- Contagion determination via copula and volatility threshold models
- Bayesian copula selection
- Bayesian copulae distributions, with application to operational risk management
- Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
- Title not available (Why is that?)
- On some difficulties with a posterior probability approximation technique
Cited In (31)
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Multivariate dynamic copula construction based on a vine structure
- Sequential Bayesian model selection of regular vine copulas
- A multivariate volatility vine copula model
- Mixture of D-vine copulas for modeling dependence
- Pair-copula constructions for non-Gaussian DAG models
- Copula diagnostics for asymmetries and conditional dependence
- Selection of vine copulas
- 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
- Vine copula approximation: a generic method for coping with conditional dependence
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Truncated regular vines in high dimensions with application to financial data
- Analysis of paediatric visual acuity using Bayesian copula models with sinh-arcsinh marginal densities
- Structure learning in Bayesian networks using regular vines
- A nonparametric Bayesian approach to copula estimation
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Bayesian model choice of grouped \(t\)-copula
- Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Beyond simplified pair-copula constructions
- SCOMDY models based on pair-copula constructions with application to exchange rates
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Copula directed acyclic graphs
- A mixture of regular vines for multiple dependencies
This page was built for publication: Bayesian model selection for D-vine pair-copula constructions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3087589)
