A Bayesian inference for time series via copula-based Markov chain models

DOI10.1080/03610918.2018.1529241MaRDI QIDQ5083906zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chain Monte CarloBayesian inferenceMetropolis-Hastings algorithmClayton copulanonstandardized Student's \(t\)-distribution

Mathematics Subject Classification ID

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)

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Cites work

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• Understanding Relationships Using Copulas

Cited in

(8)

• Computational methods for a copula-based Markov chain model with a binomial time series
• Model diagnostic procedures for copula-based Markov chain models for statistical process control
• Estimation under copula-based Markov normal mixture models for serially correlated data
• scientific article; zbMATH DE number 7660125 (Why is no real title available?)
• Efficient Bayesian inference for stochastic time-varying copula models
• A copula-based Markov chain model for serially dependent event times with a dependent terminal event
• Skew-\(t\) copula-based semiparametric Markov chains
• Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series

Describes a project that uses

Uses Software

• Copula.Markov
• BayesDA

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