Bayesian model selection of regular vine copulas
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Publication:1631599
DOI10.1214/17-BA1089zbMath1407.62172OpenAlexW4235545895MaRDI QIDQ1631599
Publication date: 6 December 2018
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ba/1514516431
importance samplingmultivariate analysisBayesian inferencedependence modelingrisk forecastingsimulation studiescopula modelingfinancial analysisposterior simulationvine copulas
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites Work
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