45 citations · 83 across the 2 of their papers we have counts for
2 papers
stat.AP2016★ 38 cited
Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic models
Lutz F. Gruber, Mike West
The recently introduced class of simultaneous graphical dynamic linear models (SGDLMs) defines an ability to scale on-line Bayesian analysis and forecasting to higher-dimensional t…
math.ST2015★ 45 cited
Sequential Bayesian Model Selection of Regular Vine Copulas
Lutz Gruber, Claudia Czado
Regular vine copulas can describe a wider array of dependency patterns than the multivariate Gaussian copula or the multivariate Student's t copula. This paper presents two contrib…