Vines: A new graphical model for dependent random variables

By Tim Bedford, Roger M. Cooke. 2002

1,486 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9e796465f801a1b64baf6d2a88b44a62f4c5c69e

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In Artificial Intelligence

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Citations in the corpus

Parameter estimation for pair-copula constructions (2013, background): “Accordingly, a number of hierarchical, copula-based structures have been proposed, among those the pair-copula construction (PCC) of Joe [22], further studied and considered by Bedford and Cooke [2, 3], Kurowicka and Cooke [30] and Aas et al.”
On a class of circulas: copulas for circular distributions (2015, background): “As in the linear case, the value of direct multivariate extensions of the circula is not especially clear, given the attraction of pair copula constructions (Bedford and Cooke 2002; Kurowicka and Cooke 2006; Aas et al. 2009) to more meaningfully model highly multivariate situations.”
The shifting dependence dynamics between the G7 stock markets (2018, positive): “Bedford and Cooke (2002) have ‡Patton (2012) provides a detailed survey on copula models for economic time series. decomposed the density of a d-dimensional distribution into a series of linked trees of bivariate copulas as building blocks called vines.”
Bayesian inference for multivariate copulas using pair-copula constructions. (2010, methodology): “In order to systemize PCC's, Bedford and Cooke (2001, 2002) introduced tree representations called regular vines.”
Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, methodology): “An elegant way of constructing more general multivariate distributions through conditioning using bivariate copulas was first introduced by Bedford and Cooke (2001, 2002) based on earlier work of Joe (1996) (see also Stöber and Czado (2012) for a recent summary).”
Goodness-of-Fit Tests for Copulas of Multivariate Time Series (2017, neutral): “Other families considered recently in applications include hierarchical copulas (Savu and Trede, 2006),(McNeil, 2008), and copula vines (Bedford and Cooke, 2002), (Aas et al., 2009).”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, neutral): “Bedford & Cooke (2002) introduce canonical vine copulas and Aas et al. (2009) and Berg & Aas (2007), whose presentation we follow here, are the first to use them in a financial application.”
Pair-Copula Constructions for Financial Applications: A Review (2016, methodology): “The notion of regular vines (R-vines) was introduced by Bedford and Cooke [8], and described in more detail in [9].”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “They were originally proposed by Joe (1996) and further explored and greatly extended by Bedford and Cooke (2001, 2002) and Kurowicka and Cooke (2006).”