Copula modelling of dependence in multivariate time series
Michael Stanley Smith (Melbourne Business School, University of Melbourne, Australia)
| Year of publication: |
July-September 2015
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|---|---|
| Authors: | Smith, Michael S. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 815-833
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| Subject: | Copula model | Nonlinear multivariate time series | Bayesian model averaging | Multivariate stationarity | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Multivariate Analyse | Multivariate analysis | Bayes-Statistik | Bayesian inference | Theorie | Theory |