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Bayesian Analysis(1)
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Bayesian Testing for Nested Hypotheses under Partial Observability
ArticleAbstract: Florens, Richard and Rolin (2003) proposed a specification test of a parametric hypothesis against aPalabras claves:Autores:Carlos Almeida, Mouchart M.Fuentes:scopusBayesian encompassing specifition test under not completely known partial observability
ArticleAbstract: This paper proposes the construction of a Bayesian specification test based on the encompassing prinPalabras claves:Bayesian encompassing, Bayesian specification test, Dirichlet prior, Partial observabilityAutores:Carlos Almeida, Mouchart M.Fuentes:scopusEfficient Bayesian inference for stochastic time-varying copula models
ArticleAbstract: There is strong empirical evidence that dependence in multivariate financial time series varies overPalabras claves:Bayesian inference, Coarse grid sampler, Kendall's τ, Markov Chain Monte Carlo, Non-Gaussian copulas, Time varying dependenceAutores:Carlos Almeida, Czado C.Fuentes:scopusModeling longitudinal data using a pair-copula decomposition of serial dependence
ArticleAbstract: Copulas have proven to be very successful tools for the flexible modeling of cross-sectional dependePalabras claves:Bayesian model selection, Copula diagnostic, Covariance selection, D-vine, goodness of fit, Inhomogeneous Markov process, Intraday electricity load, Longitudinal copulasAutores:Carlos Almeida, Czado C., Min A., Smith M.Fuentes:scopus