7 citations · 15 across the 19 of their papers we have counts for
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stat.ME2017
Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series
Ruben Loaiza-Maya, Michael Stanley Smith
We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. The method is based on a variational…
stat.AP2017
Time Series Copulas for Heteroskedastic Data
Rubén Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher…