2 papers
math.ST2018
Statistical dependence: Beyond Pearson's
Dag Tjøstheim, Håkon Otneim, Bård Støve
Pearson's is the most used measure of statistical dependence. It gives a complete characterization of dependence in the Gaussian case, and it also works well in some non-Gaussi…
stat.ME2018
Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model
Geir D. Berentsen, Jan Bulla, Antonello Maruotti +1
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an u…