Copula-Based Multivariate Input Models for Stochastic Simulation
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References listed on IDEAS
- Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
- Bahar Biller & Barry L. Nelson, 2005. "Fitting Time-Series Input Processes for Simulation," Operations Research, INFORMS, vol. 53(3), pages 549-559, June.
- Bahar Biller & Barry L. Nelson, 2008. "Evaluation of the ARTAFIT Method for Fitting Time-Series Input Processes for Simulation," INFORMS Journal on Computing, INFORMS, vol. 20(3), pages 485-498, August.
- Huifen Chen, 2001. "Initialization for NORTA: Generation of Random Vectors with Specified Marginals and Correlations," INFORMS Journal on Computing, INFORMS, vol. 13(4), pages 312-331, November.
- Marne C. Cario & Barry L. Nelson, 1998. "Numerical Methods for Fitting and Simulating Autoregressive-to-Anything Processes," INFORMS Journal on Computing, INFORMS, vol. 10(1), pages 72-81, February.
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- Ruben Loaiza-Maya & Michael Stanley Smith, 2017. "Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series," Papers 1712.09150, arXiv.org, revised Jul 2018.
- repec:taf:jnlbes:v:34:y:2016:i:3:p:416-434 is not listed on IDEAS
- repec:spr:psycho:v:82:y:2017:i:4:d:10.1007_s11336-017-9569-6 is not listed on IDEAS
- Tianyang Wang & James S. Dyer, 2012. "A Copulas-Based Approach to Modeling Dependence in Decision Trees," Operations Research, INFORMS, vol. 60(1), pages 225-242, February.
- repec:spr:eurjdp:v:5:y:2017:i:1:d:10.1007_s40070-017-0071-2 is not listed on IDEAS
- repec:eee:eneeco:v:74:y:2018:i:c:p:886-903 is not listed on IDEAS
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Keywordscorrelation; estimation; sampling; time series;
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