CD-vine model for capturing complex dependence
| Autor: | O. Ozan Evkaya, Ceylan Yozgatligil, A. Sevtap Selcuk-Kestel |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Finite mixture Vine 021103 operations research 0211 other engineering and technologies 02 engineering and technology Bivariate analysis Theoretical Statistics Mixture model 01 natural sciences Stock market index Statistics::Computation Copula (probability theory) 010104 statistics & probability Econometrics 0101 mathematics Statistics Probability and Uncertainty Random variable Mathematics |
| Zdroj: | J Appl Stat |
| ISSN: | 1360-0532 0266-4763 |
| DOI: | 10.1080/02664763.2020.1834519 |
| Popis: | Copula based finite mixture models allow us to capture the dependence between random variables more flexibly. Although bivariate case of finite mixture models has been commonly studied, limited efforts have been spent on finite mixture of vines. Instead of using classical mixture models, it is possible to incorporate C-vines into the D-vine model (CD-vine) to understand both the dependence among the variables over different time points. The aim of this study is to create a CD-vine mixture model expressing the dependencies between variables in temporal order. To achieve this, cumulative distribution function values generated within the time components are tied together with D-vine probabilistically. With this approach, dependence structure between variables at each time point is explained by C-vine and the dependence among the time points is captured by the D-vine model. The performance of the proposed CD-vine model is validated using simulated data and applied on four stock market indices. |
| Databáze: | OpenAIRE |
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