17 citations · 41 across the 19 of their papers we have counts for
4 papers · 1 filter
Bayesian inference for dynamic vine copulas in higher dimensions
Alexander Kreuzer, Claudia Czado
We propose a class of dynamic vine copula models. This is an extension of static vine copulas and a generalization of dynamic C-vine and D-vine copulas studied by Almeida et al (20…
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…
A Bayesian Non-linear State Space Copula Model to Predict Air Pollution in Beijing
Alexander Kreuzer, Luciana Dalla Valle, Claudia Czado
Air pollution is a serious issue that currently affects many industrial cities in the world and can cause severe illness to the population. In particular, it has been proven that e…
Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation
Alexander Kreuzer, Claudia Czado
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not str…