Forecasting time series with multivariate copulas
نویسندگان
چکیده
منابع مشابه
Copula Methods for Forecasting Multivariate Time Series
Copula-based models provide a great deal of exibility in modelling multivariate distributions, allowing the researcher to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint distribution. In addition to exibility, this often also facilitates estimation of the model in stages, reducing the computational burden. Thi...
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ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2015
ISSN: 2300-2298
DOI: 10.1515/demo-2015-0005