Bayesian nonparametric estimation of a copula

DOI10.1080/00949655.2013.806508zbMath1457.62161OpenAlexW2044146548MaRDI QIDQ5220707

Xue Wang, Juan Wu, Stephen G. Walker

Publication date: 27 March 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2013.806508

zbMATH Keywords

copulaGibbs samplingslice samplingGaussian copulaBayesian nonparametric estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

A nonparametric Bayesian approach to copula estimation, Bayesian inference for conditional copulas using Gaussian process single index models, Copula density estimation by finite mixture of parametric copula densities, Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures, Bayesian nonparametric inference for a multivariate copula function, Bayesian consistency for a nonparametric stationary Markov model, The bivariate K-finite normal mixture ‘blanket’ copula, Approximate Bayesian conditional copulas

Cites Work

• Extending the rank likelihood for semiparametric copula estimation
• Efficient Bayesian inference for Gaussian copula regression models
• Bayesian estimation of a bivariate copula using the Jeffreys prior
• Copula density estimation by total variation penalized likelihood with linear equality constraints
• Slice sampling mixture models
• On a class of Bayesian nonparametric estimates: I. Density estimates
• An introduction to copulas.
• Bayesian copula selection
• Estimating copula densities through wavelets
• Comparison of semiparametric and parametric methods for estimating copulas
• Thresholding methods to estimate copula density
• Nonparametric Bayesian data analysis
• Weak convergence of empirical copula processes
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Copulas: A Review and Recent Developments
• The multivariate skew-normal distribution
• Nonparametric estimation of copula functions for dependence modelling
• A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item