Bayesian Inference for the One-Factor Copula Model
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Cites work
- A Stochastic Approximation Method
- Adaptive optimal scaling of Metropolis-Hastings algorithms using the Robbins-Monro process
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Dependence modeling with copulas
- Factor copula models for item response data
- Factor copula models for multivariate data
- Forecasting Using Principal Components From a Large Number of Predictors
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- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Transdimensional Markov Chains
Cited in
(5)- Fast inference methods for high-dimensional factor copulas
- scientific article; zbMATH DE number 5951011 (Why is no real title available?)
- High-dimensional factor copula models with estimation of latent variables
- A Factor-Copula Latent-Vine Time Series Model for Extreme Flood Insurance Losses
- Variational inference for high dimensional structured factor copulas
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