Sequential Bayesian Model Selection of Regular Vine Copulas
نویسندگان
چکیده
منابع مشابه
Bayesian Model Selection of Regular Vine Copulas
Regular vine copulas are a novel and very flexible class of dependence models. This paper presents a reversible jump MCMC strategy for Bayesian model selection and inference of regular vine copulas, which can select all levels of a regular vine copula simultaneously. This is a substantial improvement over existing frequentist and Bayesian strategies, which can only select in a sequential, level...
متن کاملModel selection for discrete regular vine copulas
Abstract Discrete vine copulas, introduced by Panagiotelis et al. (2012), provide a flexible modeling framework for high-dimensional data and have significant computational advantages over competing methods. A vine-based multivariate probability mass function is constructed from bivariate copula building blocks and univariate marginal distributions. However, even for a moderate number of variab...
متن کاملSelection of Vine Copulas
Vine copula models have proven themselves as a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables. The full specification of a vine model requires the choice of vine tree structure, copula families for each pair copula term and their corresponding parameters. In this survey we discuss the different approaches, both frequentist as...
متن کاملExtending the CAPM using pair copulas: The Regular Vine Market Sector model
The demand for accurate models involving larger numbers of assets is strong not only in view of the financial crisis of 2007-2009. In particular dependencies among assets have not been captured adequately. While standard multivariate copulas have added some flexibility, this flexibility is insufficient in higher dimensional applications. Regular vines can fill this gap by benefiting from the ri...
متن کاملBayesian model selection for D-vine pair-copula constructions
In recent years analyses of dependence structures using copulas have become more popular than the standard correlation analysis. Starting from Aas, Czado, Frigessi, and Bakken (2009) regular vine pair-copula constructions (PCCs) are considered the most flexible class of multivariate copulas. PCCs are involved objects but (conditional) independence present in data can simplify and reduce them si...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bayesian Analysis
سال: 2015
ISSN: 1936-0975
DOI: 10.1214/14-ba930