Vine copula structure representations using graphs and matrices

DOI10.1016/J.INS.2024.120151MaRDI QIDQ6495088zbMATH OpenWikidataFDO

Authors Daniel Pfeifer, Edith Alice Kovács

Publication date 30 April 2024

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INS.2024.120151

zbMATH Keywords

Cherry tree graphschordal graphsgraphical representationmatrix representationtruncated vinesvine copula structure

Mathematics Subject Classification ID

Computer science (68-XX) Quantum theory (81-XX)

Cites work

• Algorithmic graph theory and perfect graphs
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• Probability density decomposition for conditionally dependent random variables modeled by vines
• Regular vines with strongly chordal pattern of (conditional) independence
• Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
• Selecting and estimating regular vine copulae and application to financial returns
• Structure learning in Bayesian networks using regular vines
• The intersection graphs of subtrees in trees are exactly the chordal graphs
• Triangulated graphs and the elimination process
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Vines -- a new graphical model for dependent random variables.

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