3 citations · 3 across the 1 of their papers we have counts for
3 papers
On extremes for Gaussian subordination
Shuyang Bai, Marie-Christine Duker
This paper investigates extreme value theory for processes obtained by applying transformations to stationary Gaussian processes, also called subordinated Gaussian processes. The m…
Vector AutoRegressive Moving Average Models: A Review
Marie-Christine Düker, David S. Matteson, Ruey S. Tsay +1
Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vect…
Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series
Younghoon Kim, Marie-Christine Düker, Zachary F. Fisher +1
This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic f…