A Bayesian inference for time series via copula-based Markov chain models.
Li-Hsien SunChang-Shang LeeTakeshi EmuraPublished in: Commun. Stat. Simul. Comput. (2020)
Keyphrases
- markov chain
- bayesian inference
- gibbs sampler
- monte carlo simulation
- markov chain monte carlo
- probabilistic model
- transition probabilities
- steady state
- statistical inference
- monte carlo
- hyperparameters
- hidden variables
- transition matrix
- markov model
- state space
- prior distribution
- monte carlo method
- prior information
- markov networks
- stationary distribution
- higher order
- random fields
- prior knowledge
- random walk
- joint distribution
- bayesian framework
- gibbs sampling