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stat.ME2021
Approximate Bayesian Conditional Copulas
Clara Grazian, Luciana Dalla Valle, Brunero Liseo
Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional abso…
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…