Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series

DOI10.1080/10618600.2018.1562936OpenAlexW2885249749MaRDI QIDQ3391262

Rubén Loaiza-Maya, Michael Stanley Smith

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.09150

zbMATH Keywords

heteroscedasticitydata augmentationstochastic gradient ascentdrawable vinemultivariate ordinal and mixed time seriessparse variational approximation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

High-Dimensional Copula Variational Approximation Through Transformation ⋮ Fast and accurate variational inference for models with many latent variables ⋮ Mixture copulas with discrete margins and their application to imbalanced data ⋮ Modelling count data via copulas

Uses Software

• bfa
• ADVI
• ADADELTA

Cites Work

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