HMM and HAC

DOI10.1007/978-3-642-33042-1_37MaRDI QIDQ2805807zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• An introduction to copulas.
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Estimation of copula-based semiparametric time series models
• Inference in hidden Markov models.
• Maximum-likelihood estimation for hidden Markov models
• Modeling Dependencies with Copulae
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On the structure and estimation of hierarchical Archimedean copulas
• SPRT and CUSUM in hidden Markov models
• Sampling from Archimedean copulas

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