Bayesian inference for conditional copulas using Gaussian process single index models
DOI10.1016/J.CSDA.2018.01.013zbMATH Open1469.62099OpenAlexW2788099024MaRDI QIDQ1662326FDOQ1662326
Authors: Evgeny Levi, Radu V. Craiu 
Publication date: 17 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2018.01.013
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conditional copulaGaussian processsimplifying assumptionsingle index modelcross validated marginal likelihood
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cited In (9)
- In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
- Single-index copulas
- Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures
- A nonparametric Bayesian approach to copula estimation
- Approximate Bayesian conditional copulas
- Bayesian Estimation for Bivariate Gamma Processes with Copula
- Efficient Bayesian inference for Gaussian copula regression models
- Implicit copulas from Bayesian regularized regression smoothers
- A new parametric method of estimating the joint probability density: revisited
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