Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series

26 Dec 2017Ruben Loaiza-MayaMichael 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 approximation to a tractable augmented posterior, and is faster than previous likelihood-based approaches... (read more)

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