[STAT/AP] Ariane Hanebeck: Observability Properties of Copula State Space Models

09 september 2024 15:45 t/m 16:45 - Locatie: EEMCS Lecture Hall F | Zet in mijn agenda

Copula state space models extend the well-known Gaussian state space models by accommodating flexible non-Gaussian dependencies and non-additive error terms. These copula models have produced interesting results in practical applications. However, the theoretical observability properties remain an open problem. We propose a novel method to address this issue. This method relies on deterministic density approximations, specifically tailored for copula models. The approach is demonstrated for various specifications of copula SSMs of interest.