Zobrazeno 1 - 10
of 56
pro vyhledávání: '"Nasri, Bouchra R."'
We propose new copula-based models for multivariate time series having continuous or discrete distributions, or a mixture of both. These models include stochastic volatility models and regime-switching models. We also propose statistics for testing i
Externí odkaz:
http://arxiv.org/abs/2410.24003
Selecting the number of regimes in Hidden Markov models is an important problem. There are many criteria that are used to select this number, such as Akaike information criterion (AIC), Bayesian information criterion (BIC), integrated completed likel
Externí odkaz:
http://arxiv.org/abs/2308.04374
In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and the effect
Externí odkaz:
http://arxiv.org/abs/2305.02789
Autor:
Nasri, Bouchra R., Remillard, Bruno N.
In this paper, we study the identifiability and the estimation of the parameters of a copula-based multivariate model when the margins are unknown and are arbitrary, meaning that they can be continuous, discrete, or mixtures of continuous and discret
Externí odkaz:
http://arxiv.org/abs/2301.13408
Autor:
Nasri, Bouchra R., Remillard, Bruno N.
In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These tests are deri
Externí odkaz:
http://arxiv.org/abs/2301.13259
Autor:
Nasri, Bouchra R., Rémillard, Bruno N.
Publikováno v:
In Journal of Multivariate Analysis May 2024 201
Autor:
Sekkak, Idriss, Nasri, Bouchra R., Rémillard, Bruno N., Kong, Jude Dzevela, El Fatini, Mohamed
Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation December 2023 127
Autor:
Nasri, Bouchra R., Remillard, Bruno N.
In this paper, we find necessary and sufficient conditions so that copula-based conditional distributions of a response variable with respect to covariates, are ordered with respect to the simple stochastic order introduced by Lehmann. These conditio
Externí odkaz:
http://arxiv.org/abs/1902.00050
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Akademický článek
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