M-Vine decomposition and VAR(1) models

Publication date: Available online 19 October 2019Source: Statistics & Probability LettersAuthor(s): Étienne Begin, Pierre Dutilleul, Carole Beaulieu, Taoufik BouezmarniAbstractThe 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.

Source: Statistics and Probability Letters - October 20, 2019 Category: Statistics Source Type: research