Creal, Drew; Koopman, Siem Jan; Lucas, André - 2009
, observation driven analogues of unobserved compo-
nents time series models, multivariate point process models with time … is important for capturing the dynamic behavior of (multivariate)
time series processes. Obvious examples include the … (2003) and Brooks, Burke, Heravi, and Persand (2005). Correlations in multivariate
density functions can be allowed to vary …