16 citations · 67 across the 20 of their papers we have counts for
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stat.ME2019★ 4 cited
Bayesian inference for dynamic vine copulas in higher dimensions
Alexander Kreuzer, Claudia Czado
We propose a class of dynamic vine copula models. This is an extension of static vine copulas and a generalization of dynamic C-vine and D-vine copulas studied by Almeida et al (20…
stat.ME2019★ 2 cited
Bayesian Multivariate Nonlinear State Space Copula Models
Alexander Kreuzer, Luciana Dalla Valle, Claudia Czado
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 t…
stat.ME2017★ 1 cited
Heavy tailed spatial autocorrelation models
A. Kreuzer, T. Erhardt, T. Nagler +1
Appropriate models for spatially autocorrelated data account for the fact that observations are not independent. A popular model in this context is the simultaneous autoregressive…