Fully and empirical Bayes approaches to estimating copula-based models for bivariate mixed outcomes using Hamiltonian Monte Carlo

Elizabeth D. Schifano (), Himchan Jeong, Ved Deshpande and Dipak K. Dey
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Elizabeth D. Schifano: University of Connecticut
Himchan Jeong: University of Connecticut
Ved Deshpande: eBay Inc.
Dipak K. Dey: University of Connecticut

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2021, vol. 30, issue 1, No 9, 133-152

Abstract: Abstract We provide a fully Bayesian approach to conduct estimation and inference for a copula model to jointly analyze bivariate mixed outcomes. To obtain posterior samples, we use Hamiltonian Monte Carlo, which avoids the random walk behavior of Metropolis and Gibbs sampling algorithms. We also provide an empirical Bayes approach to estimate the copula parameter, which is useful when prior specification on that parameter is difficult. We further propose the use of Bayesian model selection criteria to select the most appropriate copula family. We conduct simulation studies to compare the two approaches and to examine copula selection performance and illustrate the application of the fully Bayesian approach on a burn injury data set.

Keywords: Markov Chain Monte Carlo; Mixed responses; Model selection; Multivariate analysis; 62F15; 62H99 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11749-020-00705-3

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