Bayesian Model Selection of Regular Vine Copulas
Work
Year: 2017
Type: article
Abstract: Regular vine copulas are a flexible class of dependence models, but Bayesian methodology for model selection and inference is not yet fully developed. We propose sparsity-inducing but otherwise non-in... more
Source: Bayesian Analysis
Authors Lutz F. Gruber, Claudia Czado
Institutions University of Nebraska–Lincoln, Quanta Technology (United States), Technical University of Munich
Cites: 16
Cited by: 17
Related to: 10
FWCI: 2.461
Citation percentile (by year/subfield): 86.71
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond