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Vines – a new graphical model for dependent random variables. (English) Zbl 1101.62339
Summary: A new graphical model, called a vine, for dependent random variables is introduced. Vines generalize the Markov trees often used in modelling high-dimensional distributions. They differ from Markov trees and Bayesian belief nets in that the concept of conditional independence is weakened to allow for various forms of conditional dependence.
Vines can be used to specify multivariate distributions in a straightforward way by specifying various marginal distributions and the ways in which these marginals are to be coupled. Such distributions have applications in uncertainty analysis where the objective is to determine the sensitivity of a model output with respect to the uncertainty in unknown parameters. Expert information is frequently elicited to determine some quantitative characteristics of the distribution such as (rank) correlations. We show that it is simple to construct a minimum information vine distribution, given such expert information. Sampling from minimum information distributions with given marginals and (conditional) rank correlations specified on a vine can be performed almost as fast as independent sampling. A special case of the vine construction generalizes work of H. Joe [Multivariate models and dependence concepts. (1997; Zbl 0990.62517)] and allows the construction of a multivariate normal distribution by specifying a set of partial correlations on which there are no restrictions except the obvious one that a correlation lies between \(-1\) and 1.

MSC:
62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H10 Multivariate distribution of statistics
05C05 Trees
05C90 Applications of graph theory
Software:
Linkages
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References:
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