HMM and HAC

DOI10.1007/978-3-642-33042-1_37OpenAlexW4892674MaRDI QIDQ2805807FDOQ2805807

Authors: Weining Wang, Ostap Okhrin, Wolfgang K. Härdle 

Publication date: 13 May 2016

Published in: Synergies of Soft Computing and Statistics for Intelligent Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33042-1_37

zbMATH Keywords

hidden Markov modelmultivariate distributionhierarchical Archimedean copulae

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Inference in hidden Markov models.
• Estimation of copula-based semiparametric time series models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Sampling from Archimedean copulas
• On the structure and estimation of hierarchical Archimedean copulas
• Maximum-likelihood estimation for hidden Markov models
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• SPRT and CUSUM in hidden Markov models
• Modeling Dependencies with Copulae

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