Efficient Bayesian inference for stochastic time-varying copula models

Computational Statistics and Data Analysis

Volumn 56, Issue 6, 2012, Pages 1511-1527

  Almeida, Carlos ^a   Czado, Claudia ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Bayesian inference; Coarse grid sampler; Kendall's ; Markov Chain Monte Carlo; Non Gaussian copulas; Time varying dependence

Indexed keywords

BAYESIAN INFERENCE; COARSE GRID; MARKOV CHAIN MONTE CARLO; NON-GAUSSIAN; TIME VARYING;

BAYESIAN NETWORKS; EQUIVALENCE CLASSES; FINANCIAL DATA PROCESSING; INFERENCE ENGINES; MAXIMUM LIKELIHOOD ESTIMATION; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 84857647120     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2011.08.015     Document Type: Article

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