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Lookup NU author(s): Dr Kevin Wilson
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).
We present a sampling algorithm for a regular vine on n variables which starts at an arbitrary variable. A sampling order whose nested conditional probabilities can be written as products of (conditional) copulas in the vine and univariate margins is said to be implied by the regular vine. We show that there are 2n−1 implied sampling orders for any regular vine on n variables. We show that two regular vines on n and m distinct variables can be merged in 2n+m−2 ways. This greatly simplifies the proof of the number of regular vines on n variables. A notion of sampling proximity based on numbers of shared implied sampling orders is introduced, and we use this notion to define a heuristic for searching vine space that avoids proximate vines.
Author(s): Cooke RM, Kurowicka D, Wilson K
Publication type: Article
Publication status: Published
Journal: Journal of Multivariate Analysis
Print publication date: 01/06/2015
Online publication date: 14/02/2015
Acceptance date: 03/02/2015
Date deposited: 08/09/2015
ISSN (print): 0047-259X
ISSN (electronic): 1095-7243
Publisher: Elsevier Inc.
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