PC Algorithm for Gaussian Copula Data
Vincenzina Vitale, Paola Vicard · IRIS Research product catalog (Sapienza University of Rome) · 2018
The PC algorithm is the most popular algorithm used to infer the structure of a Bayesian network directly from data. For Gaussian distributions, it infers the network structure using conditional independence tests based on Pearson correlation coefficients. Here, we propose two modified versions of PC, the R-vine PC and D-vine PC algorithms, suitable for elliptical copula data. The correlation matrix is inferred by means of the estimated structure and parameters of a regular vine. Simulation results are provided, showing the very good performance of the proposed algorithms with respect to their main competitors.