Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation

DOI10.1080/01621459.2011.644501zbMath1261.62051OpenAlexW2086496920MaRDI QIDQ4916461

Michael Stanley Smith, Mohamad A. Khaled

Publication date: 22 April 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2011.644501

zbMATH Keywords

Archimedean copula: Bayesian pair-copula selection: Discrete longitudinal data: Markov chain Monte Carlo: Multivariate dependence: Multivariate discrete data: Vine copulas

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• QRM

Cites Work

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