The Annals of Statistics
- Ann. Statist.
- Volume 30, Number 4 (2002), 1031-1068.
Vines--a new graphical model for dependent random variables
A new graphical model, called a vine, for dependent random variables is introduced. Vines generalize the Markov trees often used in modelling high-dimensional distributions. They differ from Markov trees and Bayesian belief nets in that the concept of conditional independence is weakened to allow for various forms of conditional dependence.
Vines can be used to specify multivariate distributions in a straightforward way by specifying various marginal distributions and the ways in which these marginals are to be coupled. Such distributions have applications in uncertainty analysis where the objective is to determine the sensitivity of a model output with respect to the uncertainty in unknown parameters. Expert information is frequently elicited to determine some quantitative characteristics of the distribution such as (rank) correlations. We show that it is simple to construct a minimum information vine distribution, given such expert information. Sampling from minimum information distributions with given marginals and (conditional) rank correlations specified on a vine can be performed almost as fast as independent sampling. A special case of the vine construction generalizes work of Joe and allows the construction of a multivariate normal distribution by specifying a set of partial correlations on which there are no restrictions except the obvious one that a correlation lies between $-1$ and 1.
Ann. Statist., Volume 30, Number 4 (2002), 1031-1068.
First available in Project Euclid: 10 September 2002
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62E10: Characterization and structure theory 62E25 62H20: Measures of association (correlation, canonical correlation, etc.) 62B10: Information-theoretic topics [See also 94A17] 94A17: Measures of information, entropy
Bedford, Tim; Cooke, Roger M. Vines--a new graphical model for dependent random variables. Ann. Statist. 30 (2002), no. 4, 1031--1068. doi:10.1214/aos/1031689016. https://projecteuclid.org/euclid.aos/1031689016