Transform MCMC schemes for sampling intractable factor copula models

DOI10.1007/S11009-023-09983-4MaRDI QIDQ6164840zbMATH OpenOpenAlexFDO

Authors Cyril Bénézet, Emmanuel Gobet, Rodrigo S. Targino

Publication date 4 July 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-023-09983-4

zbMATH Keywords

copula modelMarkov chain Monte Carlosampling algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
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• The Inverse of the Cumulative Standard Normal Probability Function

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