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PC algorithm for Gaussian copula graphical models
Copula covariance matrix graphical model model selection multi-variate normal distribution nonparanormal distribution.
2012/9/18
The PC algorithm uses conditional independence tests for model selection in graphical modeling with acyclic directed graphs. In Gaussian mod-els, tests of conditional independence are typically based ...
针对沪深股指,讨论了Gaussian Copula与t-Copula的密度函数,并进行相关性建模，采用二步估计法对所建模型进行参数估计并给出了相关性指标。 最后,通过Monte Carlo模拟的方法比较了Copula关联结构之间的差异。
