Modeling Non-Gaussian Time Series with Nonparametric Bayesian Models
IEEE Transactions on Pattern Analysis and Machine Intelligence
By Zhiguang Xu,Steven MacEachern,Xinyi Xu
Issue Date:November 2013
We present a class of Bayesian copula models whose major components are the marginal (limiting) distribution of a stationary time series and the internal dynamics of the series. We argue that these are the two features with which an analyst is typically mo...