Bayesian Inference for the One-Factor Copula Model

DOI10.1080/10618600.2018.1482765OpenAlexW2808184774WikidataQ129707136 ScholiaQ129707136MaRDI QIDQ3391192FDOQ3391192

Authors Ban Kheng Tan, Anastasios Panagiotelis, George Athanasopoulos 

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 analysisvine copulasreversible jump MCMCmultidimensional poverty index

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3117083 (Why is no real title available?)
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• scientific article; zbMATH DE number 1904067 (Why is no real title available?)
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• A Stochastic Approximation Method
• Adaptive optimal scaling of Metropolis-Hastings algorithms using the Robbins-Monro process
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Dependence modeling with copulas
• Factor copula models for item response data
• Factor copula models for multivariate data
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Transdimensional Markov Chains

Cited in

(4)

• scientific article; zbMATH DE number 5951011 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• R
• BayesDA
• CopulaModel

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