A Bayesian inference for time series via copula-based Markov chain models
DOI10.1080/03610918.2018.1529241zbMATH Open1489.62289OpenAlexW2900497781MaRDI QIDQ5083906FDOQ5083906
Authors: Li-Hsien Sun, Chang-Shang Lee, Takeshi Emura 
Publication date: 21 June 2022
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2018.1529241
Recommendations
Markov chain Monte CarloBayesian inferenceMetropolis-Hastings algorithmClayton copulanonstandardized Student's \(t\)-distribution
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (8)
- Computational methods for a copula-based Markov chain model with a binomial time series
- Estimation under copula-based Markov normal mixture models for serially correlated data
- Model diagnostic procedures for copula-based Markov chain models for statistical process control
- Title not available (Why is that?)
- Efficient Bayesian inference for stochastic time-varying copula models
- Skew-\(t\) copula-based semiparametric Markov chains
- A copula-based Markov chain model for serially dependent event times with a dependent terminal event
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
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