相关论文: Variational Bayes Estimation of Discrete-Margined …

Estimating copulas with discrete marginal distributions is challenging, especially in high dimensions, because computing the likelihood contribution of each observation requires evaluating $2^{J}$ terms, with $J$ the number of discrete…

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 (2016) and Goel and Mehra (2019). Within this class, we allow…

Variational Bayes methods approximate the posterior density by a family of tractable distributions whose parameters are estimated by optimisation. Variational approximation is useful when exact inference is intractable or very costly. Our…

This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the covariance structure. With our new methodology, the original…

Variational inference (VI) has become a widely used approach for scalable Bayesian inference, but its performance strongly depends on the flexibility of the chosen variational family. In this work, we propose a novel variational family that…

Copula models have become one of the most widely used tools in the applied modelling of multivariate data. Similarly, Bayesian methods are increasingly used to obtain efficient likelihood-based inference. However, to date, there has been…

Vine copulas are a flexible tool for multivariate non-Gaussian distributions. For data from an observational study where the explanatory variables and response variables are measured together, a proposed vine copula regression method uses…

The multinomial probit model is often used to analyze choice behaviour. However, estimation with existing Markov chain Monte Carlo (MCMC) methods is computationally costly, which limits its applicability to large choice data sets. This…

This article extends the literature on copulas with discrete or continuous marginals to the case where some of the marginals are a mixture of discrete and continuous components. We do so by carefully defining the likelihood as the density…

Building higher-dimensional copulas is generally recognized as a difficult problem. Regular-vines using bivariate copulas provide a flexible class of high-dimensional dependency models. In large dimensions, the drawback of the model is the…

We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we…

We propose a new highly flexible and tractable Bayesian approach to undertake variable selection in non-Gaussian regression models. It uses a copula decomposition for the joint distribution of observations on the dependent variable. This…

This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for…

Learning the joint dependence of discrete variables is a fundamental problem in machine learning, with many applications including prediction, clustering and dimensionality reduction. More recently, the framework of copula modeling has…

With the advancements of computer architectures, the use of computational models proliferates to solve complex problems in many scientific applications such as nuclear physics and climate research. However, the potential of such models is…

Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric…

We propose a model for unbalanced longitudinal data, where the univariate margins can be selected arbitrarily and the dependence structure is described with the help of a D-vine copula. We show that our approach is an extremely flexible…

Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…

The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived…

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 orders and multivariate series. We derive the copula of a…