Sequential Bayesian model selection of regular vine copulas

DOI10.1214/14-BA930zbMath1335.62048arXiv1512.00976OpenAlexW3099878468MaRDI QIDQ273648

Claudia Czado, Lutz F. Gruber

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.00976

zbMATH Keywords

multivariate statisticsgraphical modelsmultivariate time seriesreversible jump MCMCdependence modelsportfolio risk forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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Uses Software

• Boost C++ Libraries
• COIN-OR
• CDVine
• Boost
• QRM

Cites Work

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• Bayesian model selection for D-vine pair-copula constructions
• Truncated regular vines in high dimensions with application to financial data
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
• Monte Carlo sampling methods using Markov chains and their applications