Sequential Bayesian model selection of regular vine copulas
From MaRDI portal
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.
Recommendations
Cites work
- An introduction to copulas.
- Bayesian forecasting and dynamic models.
- Bayesian model selection for D-vine pair-copula constructions
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Monte Carlo sampling methods using Markov chains and their applications
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Simplified pair copula constructions -- limitations and extensions
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
Cited in
(33)- Bayesian copula selection
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- Specification of informative prior distributions for multinomial models using vine copulas
- Bayesian model selection of regular vine copulas
- Model selection for discrete regular vine copulas
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Bayesian model choice of grouped t-copula
- Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets
- Common sampling orders of regular vines with application to model selection
- A mixture of regular vines for multiple dependencies
- Multivariate distributions of correlated binary variables generated by pair-copulas
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Bayesian sequential design for copula models
- A Bayesian hierarchical copula model
- Pair-copula models for analyzing family data
- Selection of sparse vine copulas in high dimensions with the Lasso
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Selection of vine copulas
- Bayesian model selection for D-vine pair-copula constructions
- Truncated regular vines in high dimensions with application to financial data
- Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence
- Smooth nonparametric Bernstein vine copulas
- Pair copula constructions for insurance experience rating
- scientific article; zbMATH DE number 7387530 (Why is no real title available?)
- SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Portfolio selection via D-vine copula-quantile regression method
- A goodness-of-fit test for regular vine copula models
- Agent-based modeling in medical research, virtual baseline generator and change in patients' profile issue
- Bayesian inference in high-dimensional models
- Selecting and estimating regular vine copulae and application to financial returns
- Detecting and modeling critical dependence structures between random inputs of computer models
This page was built for publication: Sequential Bayesian model selection of regular vine copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q273648)
