Introduction to Bayesian Networks
Introduction to Bayesian Networks
An Introduction to Copulas (Springer Series in Statistics)
An Introduction to Copulas (Springer Series in Statistics)
Copula-Based Multivariate Input Models for Stochastic Simulation
Operations Research
Tail dependence functions and vine copulas
Journal of Multivariate Analysis
On the simplified pair-copula construction - Simply useful or too simplistic?
Journal of Multivariate Analysis
D-vine EDA: a new estimation of distribution algorithm based on regular vines
Proceedings of the 12th annual conference on Genetic and evolutionary computation
Efficient maximum likelihood estimation of copula based meta t-distributions
Computational Statistics & Data Analysis
Estimation of distribution algorithms based on copula functions
Proceedings of the 13th annual conference companion on Genetic and evolutionary computation
Tail order and intermediate tail dependence of multivariate copulas
Journal of Multivariate Analysis
Comparison of estimators for pair-copula constructions
Journal of Multivariate Analysis
Vine copulas with asymmetric tail dependence and applications to financial return data
Computational Statistics & Data Analysis
Extremal dependence of copulas: A tail density approach
Journal of Multivariate Analysis
Selecting and estimating regular vine copulae and application to financial returns
Computational Statistics & Data Analysis
Proceedings of the Eighth Indian Conference on Computer Vision, Graphics and Image Processing
Mixture of D-vine copulas for modeling dependence
Computational Statistics & Data Analysis
Factor copula models for multivariate data
Journal of Multivariate Analysis
Pair-copula estimation of distribution algorithms
International Journal of Computing Science and Mathematics
Measuring association and dependence between random vectors
Journal of Multivariate Analysis
Pair-copula based mixture models and their application in clustering
Pattern Recognition
Estimating standard errors in regular vine copula models
Computational Statistics
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A vine is a new graphical model for dependent random variables. Vines generalize the Markov trees often used in modeling multivariate 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. A general formula for the density of a vine dependent distribution is derived. This generalizes the well-known density formula for belief nets based on the decomposition of belief nets into cliques. Furthermore, the formula allows a simple proof of the Information Decomposition Theorem for a regular vine. The problem of (conditional) sampling is discussed, and Gibbs sampling is proposed to carry out sampling from conditional vine dependent distributions. The so-called ‘canonical vines’ built on highest degree trees offer the most efficient structure for Gibbs sampling.