Holdings: Pair-copula constructions for non-Gaussian Bayesian networks

Pair-copula constructions for non-Gaussian Bayesian networks:

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Bibliographic Details
Main Author:	Bauer, Alexander (Author)
Format:	Thesis Book
Language:	English
Published:	2013
Subjects:	Bedingte Unabhängigkeit Kopula > Mathematik Multivariate Analyse Bayes-Netz Hochschulschrift
Online Access:	Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20130222-1127589-0-1 Inhaltsverzeichnis
Physical Description:	II, 103 S. graph. Darst.

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MARC


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adam_text	IMAGE 1 CONTENTS INTRODUCTION 1 1 BAYESIAN NETWORKS 9 1.1 GRAPH-THEORETICAL TERMINOLOGY 9 1.2 CONDITIONAL INDEPENDENCE AND DIRECTED ACYCLIC GRAPHS (DAGS) . . . . 11 1.3 GAUSSIAN BAYESIAN NETWORKS 13 2 VINE COPULA MODELS 17 2.1 COPULAS 17 2.2 PAIR-COPULA CONSTRUCTIONS (PCCS) AND REGULAR VINES 20 2.3 ML ESTIMATION AND MODEL SELECTION IN VINE COPULA MODELS 24 2.3.1 ML ESTIMATION 25 2.3.2 MODEL SELECTION 26 3 PAIR-COPULA BAYESIAN NETWORKS 29 3.1 PCCS FOR D-MARKOVIAN PROBABILITY MEASURES 29 3.2 EVALUATING CONDITIONAL CDFS 32 3.2.1 PAIR-COPULA DECOMPOSITIONS FOR MARGINAL PDFS 33 3.2.2 PAIR-COPULA DECOMPOSITIONS FOR CONDITIONAL CDFS 41 3.3 SIMULATION AND ML ESTIMATION IN PAIR-COPULA BAYESIAN NETWORKS . . . 43 3.3.1 SIMULATION 43 3.3.2 ML ESTIMATION 45 3.4 LIKELIHOOD INFERENCE: A SIMULATION STUDY 45 3.4.1 SIMULATION SETUP 46 3.4.2 RESULTS 49 HTTP://D-NB.INFO/1036676064 IMAGE 2 II CONTENTS 4 MODEL SELECTION 5 7 4.1 STRUCTURE ESTIMATION 57 4.1.1 THE PC ALGORITHM 58 4.1.2 TESTING CONDITIONAL INDEPENDENCE USING PARTIAL CORRELATIONS . . 59 4.1.3 VINE-COPULA-BASED CONDITIONAL INDEPENDENCE TEST 61 4.2 STRUCTURE ESTIMATION: A SIMULATION STUDY 65 4.2.1 SIMULATION SETUP 65 4.2.2 RESULTS 66 4.3 ORDERING THE PARENTS OF A DAG 72 5 D A T A APPLICATIONS 75 5.1 GERMAN AND US STOCK AND BOND MARKET INDICES 75 5.1.1 UNIVARIATE TIME SERIES MODELS 75 5.1.2 SPECIFYING THE CONDITIONAL INDEPENDENCE STRUCTURE 76 5.1.3 PAIR-COPULA SELECTION AND ML ESTIMATION 77 5.2 INTERNATIONAL STOCK MARKET INDICES 80 5.2.1 UNIVARIATE TIME SERIES MODELS 80 5.2.2 ESTIMATING THE CONDITIONAL INDEPENDENCE STRUCTURE 83 5.2.3 PAIR-COPULA SELECTION AND ML ESTIMATION 85 5.2.4 VALUE-AT-RISK PREDICTION 88 5.3 REDUCING COMPUTATIONAL COMPLEXITY 89 A H-FUNCTIONS O F SELECTED COPULA FAMILIES 91 B EXAMPLE O F A P C C FOR A D-MARKOVIAN PROBABILITY MEASURE 93 BIBLIOGRAPHY 95 ABBREVIATIONS 103
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spelling	Bauer, Alexander Verfasser aut Pair-copula constructions for non-Gaussian Bayesian networks Alexander Xaver Bauer 2013 II, 103 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Techn. Univ., Diss., 2013 Bedingte Unabhängigkeit (DE-588)4814819-2 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Bayes-Netz (DE-588)4567228-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bayes-Netz (DE-588)4567228-3 s Bedingte Unabhängigkeit (DE-588)4814819-2 s Kopula Mathematik (DE-588)4529954-7 s Multivariate Analyse (DE-588)4040708-1 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:91-diss-20130222-1127589-0-1 http://mediatum.ub.tum.de/node?id=1127589 Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20130222-1127589-0-1 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025931643&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Bauer, Alexander Pair-copula constructions for non-Gaussian Bayesian networks Bedingte Unabhängigkeit (DE-588)4814819-2 gnd Kopula Mathematik (DE-588)4529954-7 gnd Multivariate Analyse (DE-588)4040708-1 gnd Bayes-Netz (DE-588)4567228-3 gnd
subject_GND	(DE-588)4814819-2 (DE-588)4529954-7 (DE-588)4040708-1 (DE-588)4567228-3 (DE-588)4113937-9
title	Pair-copula constructions for non-Gaussian Bayesian networks
title_auth	Pair-copula constructions for non-Gaussian Bayesian networks
title_exact_search	Pair-copula constructions for non-Gaussian Bayesian networks
title_full	Pair-copula constructions for non-Gaussian Bayesian networks Alexander Xaver Bauer
title_fullStr	Pair-copula constructions for non-Gaussian Bayesian networks Alexander Xaver Bauer
title_full_unstemmed	Pair-copula constructions for non-Gaussian Bayesian networks Alexander Xaver Bauer
title_short	Pair-copula constructions for non-Gaussian Bayesian networks
title_sort	pair copula constructions for non gaussian bayesian networks
topic	Bedingte Unabhängigkeit (DE-588)4814819-2 gnd Kopula Mathematik (DE-588)4529954-7 gnd Multivariate Analyse (DE-588)4040708-1 gnd Bayes-Netz (DE-588)4567228-3 gnd
topic_facet	Bedingte Unabhängigkeit Kopula Mathematik Multivariate Analyse Bayes-Netz Hochschulschrift
url	http://mediatum.ub.tum.de/node?id=1127589 https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20130222-1127589-0-1 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025931643&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT baueralexander paircopulaconstructionsfornongaussianbayesiannetworks

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