Bayesian 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 et al. (2009) regular vine pair-copula constructions (PCCs) are considered the most flexible class of multivariate copulas. PCCs are involved objects but...

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Veröffentlicht in:	Canadian journal of statistics 2011-06, Vol.39 (2), p.239-258
Hauptverfasser:	Min, Aleksey, Czado, Claudia
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian analysis Bayesian networks copula Copula functions Covariance matrices D-vine Data models Effectiveness Markov analysis Mathematical independent variables Mathematical vectors Modeling Monte Carlo simulation MSC 2010: Primary 62F15 pair-copula constructions Paper money Parametric models Probabilities reversible jump Markov chain Monte Carlo secondary secondary 62H20 Studies
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