Generalised Bayesian sample copula of order m

Luis E. Nieto-Barajas and Ricardo Hoyos-Argüelles ()
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Luis E. Nieto-Barajas: ITAM
Ricardo Hoyos-Argüelles: Banco de México

Computational Statistics, 2024, vol. 39, issue 4, No 15, 2065-2082

Abstract: Abstract In this work we propose a semiparametric bivariate copula whose density is defined by a piecewise constant function on disjoint squares. We obtain the maximum likelihood estimators of model parameters and prove that they reduce to the sample copula under specific conditions. We further propose to carry out a full Bayesian analysis of the model and introduce a spatial dependent prior distribution for the model parameters. This prior allows the parameters to borrow strength across neighbouring regions to produce smooth posterior estimates. We characterise the posterior distribution via the full conditional distributions. A Metropolis–Hastings step is required and we propose a novel adaptation scheme for the random walk proposal distribution. We implement a simulation study and an analysis of a real dataset to illustrate the performance of our model and inference algorithms.

Keywords: Copula theory; Bayesian inference; Piecewise constant; Spatial model (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00180-023-01383-z

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