Bayesian Analysis of Multivariate Time Series Models based on Pair-Copula Construction
Florian Gärtner · mediaTUM – the media and publications repository of the Technical University Munich (Technical University Munich) · 2008
Algorithms 2.1 Cholesky Decomposition for symmetric and positive definite matrices . . .2.2 Simulation algorithm from four dimensional D-vine with standard normal margins.Generates one sample x 1 , . . ., x 4 from the D-vine. . . . . . . . . .2.3 Calculation of Log-Likelihood for 4-dim.D-Vine . . . . . . . . . . . . . . .2.4 Metropolis Hastings-Algorithm with N steps . . . . .