BAYESIAN INFERENCE FOR COPULA MODELS

被引：0

作者：

Craiu, Mariana ^{[1
]}

Craiu, Radu V. ^{[2
]}

机构：

[1] Univ Politehn Bucuresti, Dept Math 3, Bucharest, Romania

[2] Univ Toronto, Toronto, ON M5S 1A1, Canada

来源：

UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS | 2008年 / 70卷 / 03期

关键词：

Copula models; Posterior distribution; Gamma and Weibull distributions; Bayesian statistics;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We present a general methodology for performing Bayesian inference on copula models. Here we discuss the case in which each marginal distribution is Weibull or Exponential but the approach can be generalized to other distributions. We solve the computational problem associated with sampling from the posterior distribution using Markov chain Monte Carlo. We illustrate the method with simulated data in order to assess its efficiency.

引用

页码：3 / 10

页数：8

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