Bayesian copula factor autoregressive models for time series mixed data
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Cites work
- A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
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- A sparse factor analytic probit model for congressional voting patterns
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- Extending the rank likelihood for semiparametric copula estimation
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- GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models
- High dimensional dynamic stochastic copula models
- scientific article; zbMATH DE number 6378118 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3605818 (Why is no real title available?)
- Identification and Bayesian Estimation of Dynamic Factor Models
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- Modelling count data via copulas
- Modelling multiple time series via common factors
- On Gibbs sampling for state space models
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- Seeking efficient data augmentation schemes via conditional and marginal augmentation
- Sequential Bayesian analysis of multivariate count data
- Smoothing with couplings of conditional particle filters
- Sparse Bayesian infinite factor models
- The Generalized Dynamic Factor Model
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Variational inference for high dimensional structured factor copulas
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