Mostrando 2 resultados de: 2
Filtros aplicados
Subtipo de publicación
Article(2)
Publisher
Computational Statistics and Data Analysis(1)
Journal of the American Statistical Association(1)
Área temáticas
Programación informática, programas, datos, seguridad(1)
Origen
scopus(2)
Efficient 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