Approximate Bayesian computation for copula estimation

DOI10.6092/ISSN.1973-2201/5827MaRDI QIDQ4965727zbMATH OpenOpenAlexFDO

Authors C. Grazian, Brunero Liseo

Publication date 10 March 2021

Full work available at URL https://doaj.org/article/99b6658211ca40e7a019ec5747332d3f

zbMATH Keywords

ABC algorithmsmultivariate distributionspartially specified models

Mathematics Subject Classification ID

Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

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Cites work

• A Gaussian copula approach for the analysis of secondary phenotypes in case-control genetic association studies
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Approximate Bayesian computational methods
• Bayesian exponentially tilted empirical likelihood
• Bayesian nonparametric inference for a multivariate copula function
• Dependence modeling with copulas
• Empirical likelihood
• Extending the rank likelihood for semiparametric copula estimation
• scientific article; zbMATH DE number 4174133 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
• Likelihood-free MCMC
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Uncertainty quantification in complex simulation models using ensemble copula coupling

Cited in

(11)

• Efficient Bayesian inference for Gaussian copula regression models
• Likelihood-free Bayesian estimation of multivariate quantile distributions
• Approximate Bayesian inference in semiparametric copula models
• New approximate Bayesian computation algorithm for censored data
• Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
• Introduction to Bayesian Estimation and Copula Models of Dependence
• scientific article; zbMATH DE number 5951011 (Why is no real title available?)
• Efficient Bayesian inference for stochastic time-varying copula models
• Bayesian nonparametric inference for a multivariate copula function
• Bayesian nonparametric estimation of a copula
• Superefficient estimation of the marginals by exploiting knowledge on the copula

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