A nonparametric Bayesian approach to copula estimation

DOI10.1080/00949655.2017.1421194OpenAlexW2963213033MaRDI QIDQ4960593

Neil Shephard, Shaoyang Ning

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07089

zbMATH Keywords

copulakernel methodnonparametric BayesPólya treeGaussian copula mixture model

Mathematics Subject Classification ID

Multivariate analysis (62H99) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Nonparametric inference (62G99)

Related Items (4)

Polya tree Monte Carlo method ⋮ Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures ⋮ Dependence properties and Bayesian inference for asymmetric multivariate copulas ⋮ Dependence structure estimation using copula recursive trees

Cites Work

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