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Document type:
Zeitungsartikel 
Author(s):
Kreuzer, A., Dalla Valle, L. and Czado, C. 
Title:
Bayesian Multivariate Nonlinear State Space Copula Models 
Abstract:
In this paper we propose a flexible class of multivariate nonlinear non-Gaussian state space models, based on copulas. More precisely, we assume that the observation equation and the state equation are defined by copula families that are not necessarily equal. For each time point, the resulting model can be described by a C-vine copula truncated after the first tree, where the root node is represented by the latent state. Inference is performed within the Bayesian framework, using the Hamiltonia...    »
 
Keywords:
Time Series, Bayesian Inference, Hamiltonian Monte Carlo, Vine Copulas 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2019 
Language:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text 
Ingested:
01.11.2019