A nonparametric Bayesian approach to copula estimation

DOI10.1080/00949655.2017.1421194MaRDI QIDQ4960593zbMATH OpenOpenAlexFDO

Authors Shaoyang Ning, Neil Shephard

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

copulaGaussian copula mixture modelkernel methodnonparametric BayesPólya tree

Mathematics Subject Classification ID

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

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Cited in

(19)

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