Efficient Bayesian inference for stochastic time-varying copula models

DOI10.1016/j.csda.2011.08.015zbMath1243.62031OpenAlexW1967861028MaRDI QIDQ434914

Claudia Czado, Carlos A. S. Almeida

Publication date: 16 July 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.08.015

zbMATH Keywords

Markov chain Monte CarloKendall's \(\tau\)coarse grid samplernon-Gaussian copulastime varying dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• spatcounts

Cites Work

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