representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series … identification constraints for parameter estimation. We provide an asymptotic theory for a Two-Stage Maximum Likelihood Estimator (2 … challenges for large-scale count datasets, while at the same time addressing computational challenges inherent to copula …