Bayesian model selection for D-vine pair-copula constructions

  title={Bayesian model selection for D-vine pair-copula constructions},
  author={Aleksey Min and Claudia Czado},
In recent years analyses of dependence structures using copulas have become more popular than the standard correlation analysis. Starting from Aas, Czado, Frigessi, and Bakken (2009) regular vine pair-copula constructions (PCCs) are considered the most flexible class of multivariate copulas. PCCs are involved objects but (conditional) independence present in data can simplify and reduce them significantly. In this paper the authors detect (conditional) independence in a particular vine PCC… CONTINUE READING