A Bayesian inference for time series via copula-based Markov chain models
DOI10.1080/03610918.2018.1529241zbMath1489.62289OpenAlexW2900497781MaRDI QIDQ5083906
Takeshi Emura, Li-Hsien Sun, Chang-Shang Lee
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
Markov chain Monte CarloMetropolis-Hastings algorithmBayesian inferenceClayton copulanonstandardized Student's \(t\)-distribution
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05)
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