A Bayesian semiparametric Archimedean copula

DOI10.1016/J.JSPI.2019.09.015MaRDI QIDQ2301094zbMATH OpenOpenAlexWikidataFDO

Authors Ricardo Hoyos-Argüelles, Luis E. Nieto-Barajas

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.07700

zbMATH Keywords

Archimedean copulaBayes nonparametricspiecewise constantquadratic splinesurvival analysis

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Bayesian inference (62F15) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Reliability and life testing (62N05)

Abstract: An Archimedean copula is characterised by its generator. This is a real function whose inverse behaves as a survival function. We propose a semiparametric generator based on a quadratic spline. This is achieved by modelling the first derivative of a hazard rate function, in a survival analysis context, as a piecewise constant function. Convexity of our semiparametric generator is obtained by imposing some simple constraints. The induced semiparametric Archimedean copula produces Kendall's tau association measure that covers the whole range $(-1,1)$. Inference on the model is done under a Bayesian approach and for some prior specifications we are able to perform an independence test. Properties of the model are illustrated with a simulation study as well as with a real dataset.

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• Inference on Archimedean copulas using mixtures of Pólya trees
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Cited in

(6)

• Archimedean copula estimation using Bayesian splines smoothing techniques
• Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
• Empirical research on semiparametric Archimedean copulas
• scientific article; zbMATH DE number 1276014 (Why is no real title available?)
• Local dependence estimation using semiparametric archimedean copulas
• Semiparametric bivariate Archimedean copulas

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Uses Software

• BGPhazard

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