The relationship between graphical representations of regular vine copulas and polytrees

Abstract

Graphical models (GMs) are powerful statistical tools for modeling the (in)dependencies among random variables. In this paper, we focus on two different types of graphical models: R-vines and polytrees. Regarding the graphical representation of these models, the former uses a sequence of undirected trees with edges representing pairwise dependencies, whereas the latter uses a directed graph without cycles to encode independence relationships among the variables. The research problem we deal with is whether it is possible to build an R-vine that represents the largest number of independencies found in a polytree and vice versa. Two algorithms are proposed to solve this problem. One algorithm is used to induce an R-vine that represents in each tree the largest number of graphical independencies existing in a polytree. The other one builds a polytree that represents all the independencies found in the R-vine. Through simple examples, both procedures are illustrated.