Peter Xue-Kun Song, Multivariate Dispersion Models Generated from Gaussian Copula, Scandinavian Journal of Statistics, Vol. 27, No. 2 (Jun., 2000), pp. 305-320 ...

We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models, designed to handle multivariate response variables, along with a wide ...

Multivariate adaptive regression splines (MARS) have useful features to effectively reduce the number of terms in a model.

In this module, we will introduce generalized linear models (GLMs) through the study of binomial data. In particular, we will motivate the need for GLMs; introduce the binomial regression model, ...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...