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Applied Stochastic Models in Business and Industry(1)
Computational Statistics and Data Analysis(1)
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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 high-dimensional time-varying dependence using dynamic D-vine models
ArticleAbstract: We consider the problem of modeling the dependence among many time series. We build high-dimensionalPalabras claves:D-vines, efficient importance sampling, generalized autoregressive score, sequential estimation, stock return dependence, time-varying copulaAutores:Carlos Almeida, Czado C., Manner H.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