Bayesian Inference for the One-Factor Copula Model

DOI10.1080/10618600.2018.1482765OpenAlexW2808184774WikidataQ129707136 ScholiaQ129707136MaRDI QIDQ3391192

Anastasios Panagiotelis, George Athanasopoulos, Ban Kheng Tan

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10618600.2018.1482765

zbMATH Keywords

model selectionmultivariate analysisreversible jump MCMCvine copulasmultidimensional poverty index

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Variational inference for high dimensional structured factor copulas ⋮ High-dimensional factor copula models with estimation of latent variables ⋮ Fast inference methods for high-dimensional factor copulas

Uses Software

• R
• BayesDA
• CopulaModel

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Factor copula models for multivariate data
• Factor copula models for item response data
• Adaptive optimal scaling of Metropolis–Hastings algorithms using the Robbins–Monro process
• Dependence Modeling with Copulas
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Forecasting Using Principal Components From a Large Number of Predictors
• Transdimensional Markov Chains
• A Stochastic Approximation Method
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