Bayesian copula selection

DOI10.1016/j.csda.2005.08.010zbMath1157.62359OpenAlexW2053774289MaRDI QIDQ1010423

David Huard, Guillaume Évin, Anne-Catherine Favre

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.08.010

zbMATH Keywords

model selection copulas Kendall's tau goodness-of-fit test pseudo-likelihood Bayes' theorem

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites Work