dcvar (Q7375541)
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Dynamic Copula VAR Models for Time-Varying Dependence
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | dcvar |
Dynamic Copula VAR Models for Time-Varying Dependence |
Statements
Fits Bayesian copula vector autoregressive models for bivariate time series with dynamic, regime-switching, and constant dependence structures. The package includes simulation, data preparation, estimation with 'Stan' through 'rstan' or 'cmdstanr', posterior summaries, diagnostics, trajectory extraction, fitted and predictive summaries, and approximate leave-one-out cross-validation model comparison for supported fits. For Bayesian computation and model comparison, see Carpenter et al. (2017) <doi:10.18637/jss.v076.i01> and Vehtari, Gelman and Gabry (2017) <doi:10.1007/s11222-016-9696-4>.
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5 July 2026
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