Copula directed acyclic graphs

Eugen Pircalabelu, Gerda Claeskens and Irène Gijbels

No 504657, Working Papers of Department of Decision Sciences and Information Management, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven

Abstract: A new methodology for selecting a Bayesian network for continuous data outside the widely used class of multivariate normal distributions is developed. The ‘copula DAGs’ combine directed acyclic graphs and their associated probability models with copula C/D-vines. Bivariate copula densities introduce flexibility in the joint distributions of pairs of nodes in the network. An information criterion is studied for graph selection tailored to the joint modeling of data based on graphs and copulas. Examples and simulation studies show the flexibility and properties of the method.

Keywords: Directed acyclic graph; Copula; C-vine; D-vine; Model selection (search for similar items in EconPapers)
Date: 2015
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Published in FEB Research Report KBI_1519

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Persistent link: https://EconPapers.repec.org/RePEc:ete:kbiper:504657

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