Efficient Bayesian inference for stochastic time-varying copula models (Q434914): Difference between revisions

@@ Property / author @@
-Carlos A. S. Almeida
@@ Property / author: Carlos A. S. Almeida / rank @@
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@@ Property / author @@
-Claudia Czado
@@ Property / author: Claudia Czado / rank @@
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@@ Property / author @@
+Claudia Czado
@@ Property / author: Claudia Czado / rank @@
+Normal rank
@@ Property / author @@
+Carlos A. S. Almeida
@@ Property / author: Carlos A. S. Almeida / rank @@
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+F15
@@ Property / Mathematics Subject Classification ID: 62F15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+H20
@@ Property / Mathematics Subject Classification ID: 62H20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H05
@@ Property / Mathematics Subject Classification ID: 62H05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C40
@@ Property / Mathematics Subject Classification ID: 65C40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C60
@@ Property / Mathematics Subject Classification ID: 65C60 / rank @@
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@@ Property / zbMATH DE Number @@
+6056966
@@ Property / zbMATH DE Number: 6056966 / rank @@
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@@ Property / zbMATH Keywords @@
+time varying dependence
@@ Property / zbMATH Keywords: time varying dependence / rank @@
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@@ Property / zbMATH Keywords @@
+non-Gaussian copulas
@@ Property / zbMATH Keywords: non-Gaussian copulas / rank @@
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@@ Property / zbMATH Keywords @@
+Kendall's \(\tau\)
@@ Property / zbMATH Keywords: Kendall's \(\tau\) / rank @@
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@@ Property / zbMATH Keywords @@
+Markov chain Monte Carlo
@@ Property / zbMATH Keywords: Markov chain Monte Carlo / rank @@
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@@ Property / zbMATH Keywords @@
+coarse grid sampler
@@ Property / zbMATH Keywords: coarse grid sampler / rank @@
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+https://doi.org/10.1016/j.csda.2011.08.015
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+W1967861028
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@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Time-varying joint distribution through copulas
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+Normal rank
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+Generalized autoregressive conditional heteroscedasticity
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+Bayes inference in regression models with ARMA\((p,q)\) errors
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+Understanding Relationships Using Copulas
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+Multivariate Stochastic Variance Models
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+Monte Carlo sampling methods using Markov chains and their applications
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+Q4382161
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+Asymptotic efficiency of the two-stage estimation method for copula-based models
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+Comparison of semiparametric and parametric methods for estimating copulas
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+Efficient estimation of copula-GARCH models
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+Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
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+An introduction to copulas.
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+Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
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@@ links / mardi / name / links / mardi / name @@
+Publication:434914