A nonparametric Bayesian approach to copula estimation
DOI10.1080/00949655.2017.1421194OpenAlexW2963213033MaRDI QIDQ4960593FDOQ4960593
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
Density estimation (62G07) Multivariate analysis (62H99) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric inference (62G99)
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Cited In (15)
- Nonparametric estimation of copula-based measures of multivariate association from contingency tables
- Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
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- Non-parametric estimation of copula based mutual information
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