Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments [PDF]
, 2018 This paper points out mistakes in some results given in the paper "Bayesian Copulae Distributions, with Application to Operational Risk Management” by Luciana Dalla Valle, published in 2009 in volume11, number1 of "Methodology and Computing in Applied ...
Arbenz, Philipp
core
MCMC Methods for Multi-Response Generalized Linear Mixed Models: The MCMCglmm R Package
Generalized linear mixed models provide a flexible framework for modeling a range of data, although with non-Gaussian response variables the likelihood cannot be obtained in closed form.
Jarrod D. Hadfield
core
Robust Pose and Inertial Parameter Estimation of an Unknown Aircraft Based on Variational Bayesian Dual Vector Quaternion Extended Kalman Filter. [PDF]
Entropy (Basel)Xu S, Fang Y, Huang H.
europepmc +1 more source
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
, 2019 Let G be the graph corresponding to the graphical model of nearest neighbor interaction in a Gaussian character. We study Natural Exponential Families (NEF) of Wishart distributions on convex cones Q G and P G , where P G is the cone of tridiagonal ...
Graczyk, P, Mamane, S, Ishi, H
core
An Adaptive Robust Event-Triggered Variational Bayesian Filtering Method with Heavy-Tailed Noise. [PDF]
Sensors (Basel)Deng D, Yi P, Xiong J.
europepmc +1 more source
HMFGraph: Novel Bayesian approach for recovering biological networks. [PDF]
PLoS Comput BiolKorhonen AE +4 more
europepmc +1 more source
Semiparametric Estimation of Fractional Cointegrating Subspaces [PDF]
We consider a common components model for multivariate fractional cointegration, in which the s>=1 components have different memory parameters. The cointegrating rank is allowed to exceed 1.
Willa Chen, Clifford Hurvich
core
We present a variational Bayesian approach to estimation of covariance matrices, which we apply on multivariate time series of financial returns. Following previous research, dynamic covariance is modeled as an inverse Wishart process constructed from ...
Wilhelmson, Niki
core +1 more source
Detrended Cross-Correlations and Their Random Matrix Limit: An Example from the Cryptocurrency Market. [PDF]
Entropy (Basel)Drożdż S +4 more
europepmc +1 more source
A Review: Construction of Statistical Distributions. [PDF]
Entropy (Basel)Fang KT, Lin YX, Deng YH.
europepmc +1 more source