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December 2015 Sequential Bayesian Model Selection of Regular Vine Copulas
Lutz Gruber, Claudia Czado
Bayesian Anal. 10(4): 937-963 (December 2015). DOI: 10.1214/14-BA930


Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student’s t copula. This paper presents two contributions related to model selection of regular vine copulas. First, our pair copula family selection procedure extends existing Bayesian family selection methods by allowing pair families to be chosen from an arbitrary set of candidate families. Second, our method represents the first Bayesian model selection approach to include the regular vine density construction in its scope of inference. The merits of our approach are established in a simulation study that benchmarks against methods suggested in current literature. A real data example about forecasting of portfolio asset returns for risk measurement and investment allocation illustrates the viability and relevance of the proposed scheme.


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Lutz Gruber. Claudia Czado. "Sequential Bayesian Model Selection of Regular Vine Copulas." Bayesian Anal. 10 (4) 937 - 963, December 2015.


Published: December 2015
First available in Project Euclid: 4 February 2015

zbMATH: 1335.62048
MathSciNet: MR3133281
Digital Object Identifier: 10.1214/14-BA930

Rights: Copyright © 2015 International Society for Bayesian Analysis


Vol.10 • No. 4 • December 2015
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