A Bayesian semiparametric Archimedean copula

DOI10.1016/J.JSPI.2019.09.015zbMATH Open1456.62053arXiv1812.07700OpenAlexW2988521247WikidataQ126813027 ScholiaQ126813027MaRDI QIDQ2301094FDOQ2301094

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)

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.

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

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zbMATH Keywords

survival analysisArchimedean copulaBayes nonparametricspiecewise constantquadratic spline

Mathematics Subject Classification ID

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

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Cited In (6)

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• Empirical research on semiparametric Archimedean copulas
• Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
• Local dependence estimation using semiparametric archimedean copulas
• Semiparametric bivariate Archimedean copulas
• Archimedean copula estimation using Bayesian splines smoothing techniques

Uses Software

• BGPhazard

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