Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins

DOI10.1007/s11222-018-9846-yzbMath1430.62101arXiv1608.06174OpenAlexW2904297480MaRDI QIDQ2329809

Yanyan Li

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06174

zbMATH Keywords

Markov chain Monte CarloArchimedean copulavariational Bayescorrelated pseudo-marginal Metropolis-Hastings

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05)

Related Items (6)

A mixture of Clayton, Gumbel, and Frank copulas: a complete dependence model ⋮ An algorithm for estimating non-convex volumes and other integrals in \(n\) dimensions ⋮ Mixture copulas with discrete margins and their application to imbalanced data ⋮ A mixture of regular vines for multiple dependencies ⋮ Particle methods for stochastic differential equation mixed effects models ⋮ Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series

Uses Software

• bfa
• tmg

Cites Work

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