M-Vine decomposition and VAR(1) models

Étienne Begin, Pierre Dutilleul, Carole Beaulieu and Taoufik Bouezmarni

Statistics & Probability Letters, 2020, vol. 158, issue C

Abstract: The M-Vine decomposition of high-dimensional first-order Vector AutoRegressive[VAR(1)] models is detailed by representing a VAR(1) with a Multivariate Gaussian Copula (MGC), building VAR(1) models with MGCs, decomposing MGCs following M-Vine structures, and reconstructing an MGC from an M-Vine structure.

Keywords: M-vine decomposition; High-dimensional data; Vector autoregressive modeling; Multivariate Gaussian copulas (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108660

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