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)

Cites work

• A Bayesian nonparametric approach to testing for dependence between random variables
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas.
• Bayesian inference for conditional copulas using Gaussian process single index models
• Bayesian model selection for D-vine pair-copula constructions
• Bayesian nonparametric estimation of a copula
• Bayesian nonparametric inference for a multivariate copula function
• Bayesian theory and applications
• Boundary modification for kernel regression
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Estimating the density of a copula function
• Estimation of copula models with discrete margins via Bayesian data augmentation
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3870398 (Why is no real title available?)
• scientific article; zbMATH DE number 3976101 (Why is no real title available?)
• scientific article; zbMATH DE number 3980248 (Why is no real title available?)
• scientific article; zbMATH DE number 3651578 (Why is no real title available?)
• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• scientific article; zbMATH DE number 3793223 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 1932866 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Incorporating support constraints into nonparametric estimators of densities
• Inference for Mixtures of Finite Polya Tree Models
• Nonparametric estimation of copula functions for dependence modelling
• On nonparametric measures of dependence for random variables
• Optional Pólya tree and Bayesian inference
• Prior distributions on spaces of probability measures
• Pólya tree posterior distributions on densities
• Smooth optimum kernel estimators near endpoints
• Some aspects of Pólya tree distributions for statistical modelling
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate beta process and an extension of the Pólya tree model
• Theory of statistics

Cited in

(20)

• Dependence properties and Bayesian inference for asymmetric multivariate copulas
• Dependence structure estimation using copula recursive trees
• Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
• Non-parametric estimation of copula parameters: testing for time-varying correlation
• Estimating copulas for insurance from scarce observations, expert opinion and prior information: a Bayesian approach
• Introduction to Bayesian Estimation and Copula Models of Dependence
• scientific article; zbMATH DE number 5951011 (Why is no real title available?)
• Bayesian nonparametric inference for a multivariate copula function
• Bayesian Estimation for Bivariate Gamma Processes with Copula
• Non-parametric estimation of copula based mutual information
• Nonparametric estimation of copula-based measures of multivariate association from contingency tables
• Bayesian nonparametric estimation of a copula
• Superefficient estimation of the marginals by exploiting knowledge on the copula
• Polya tree Monte Carlo method
• Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures
• Copula hidden Markov model with unknown number of states
• Grid-uniform copulas and rectangle exchanges: Bayesian model and inference for a rich class of copula functions
• A Nonparametric Bayesian Estimator of Copula Density with Applications to Financial Market
• A semiparametric Bayesian estimator of copula density
• Posterior ramifications of prior dependence structures

This page was built for publication: A nonparametric Bayesian approach to copula estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4960593)