52 citations · 72 across the 11 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
stat.ME2022
Margin-closed vector autoregressive time series models
Lin Zhang, Harry Joe, Natalia Nolde
Conditions are obtained for a Gaussian vector autoregressive time series of order , VAR(), to have univariate margins that are autoregressive of order or lower-dimensiona…
stat.ME2022
High-dimensional factor copula models with estimation of latent variables
Xinyao Fan, Harry Joe
Factor models are a parsimonious way to explain the dependence of variables using several latent variables. In Gaussian 1-factor and structural factor models (such as bi-factor, ob…