Statistical inference for stochastic simulation models – theory and application
✍ Scribed by Florian Hartig; Justin M. Calabrese; Björn Reineking; Thorsten Wiegand; Andreas Huth
- Book ID
- 109034829
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 875 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1461-023X
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## SUMMARY We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of multivariate stochastic volatility model
This paper considers a stochastic model based on the homogeneous stochastic Rayleigh diffusion process. We first examine the main probabilistic characteristics of the model and describe, among other results, an explicit expression of the trends (both conditioned and nonconditioned) and, when it exis