Bayesian estimation of Archimedean copula-based SUR quantile models

DOI10.1155/2020/6746303MaRDI QIDQ2205282zbMATH OpenOpenAlexFDO

Authors Nachatchapong Kaewsompong, Paravee Maneejuk, Woraphon Yamaka

Publication date 20 October 2020

Published in Complexity (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/6746303

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Linear regression; mixed models (62J05)

Review text

Summary: We propose a high-dimensional copula to model the dependence structure of the seemingly unrelated quantile regression. As the conventional model faces with the strong assumption of the multivariate normal distribution and the linear dependence structure, thus, we apply the multivariate exchangeable copula function to relax this assumption. As there are many parameters to be estimated, we consider the Bayesian Markov chain Monte Carlo approach to estimate the parameter interests in the model. Four simulation studies are conducted to assess the performance of our proposed model and Bayesian estimation. Satisfactory results from simulation studies are obtained suggesting the good performance and reliability of the Bayesian method used in our proposed model. The real data analysis is also provided, and the empirical comparison indicates our proposed model outperforms the conventional models in all considered quantile levels.

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Cites work

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Cited in

(4)

• Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
• Extending the inference function for augmented margins method to implement trivariate Clayton copula-based SUR Tobit models
• Grid-uniform copulas and rectangle exchanges: Bayesian model and inference for a rich class of copula functions
• Bayesian quantile regression for partially linear single-index model with longitudinal data

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