5 citations · 8 across the 11 of their papers we have counts for
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stat.ME2016★ 1 cited
Inversion Copulas from Nonlinear State Space Models
Michael Stanley Smith, Worapree Maneesoonthorn
We propose to construct copulas from the inversion of nonlinear state space models. These allow for new time series models that have the same serial dependence structure of a state…
stat.CO2016
Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
Gael M. Martin, Brendan P. M. McCabe, David T. Frazier +2
A computationally simple approach to inference in state space models is proposed, using approximate Bayesian computation (ABC). ABC avoids evaluation of an intractable likelihood b…