Estimation under copula-based Markov normal mixture models for serially correlated data

DOI10.1080/03610918.2019.1652318MaRDI QIDQ5086400zbMATH OpenOpenAlexWikidataFDO

Authors Weicheng Lin, Takeshi Emura, Li-Hsien Sun

Publication date 5 July 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1652318

zbMATH Keywords

copulaNewton-Raphson algorithmMarkov modelnormal mixture distributionlog return

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A Bayesian inference for time series via copula-based Markov chain models
• A Test for Normality of Observations and Regression Residuals
• An introduction to copulas.
• Control charts of mean and variance using copula Markov SPC and conditional distribution by copula
• Copulas and Markov processes
• Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
• Empirical evidence on Student-t log-returns of diversified world stock indices
• Estimation of copula-based semiparametric time series models
• Model diagnostic procedures for copula-based Markov chain models for statistical process control
• Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
• R routines for performing estimation and statistical process control under copula-based time series models
• Root selection in normal mixture models
• The Lindeberg-Levy Theorem for Martingales
• Understanding Relationships Using Copulas

Cited in

(3)

• Computational methods for a copula-based Markov chain model with a binomial time series
• scientific article; zbMATH DE number 7660125 (Why is no real title available?)
• A copula-based Markov chain model for serially dependent event times with a dependent terminal event

Describes a project that uses

Uses Software

• Copula.Markov

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