Bayesian estimation of generalized partition of unity copulas

Bayesian estimation of generalized partition of unity copulas

This paper proposes a Bayesian estimation algorithm to estimate Generalized Partition of Unity Copulas (GPUC), a class of nonparametric copulas recently introduced by [18]. The first approach is a random walk Metropolis-Hastings (RW-MH) algorithm, the second one is a random blocking random walk Metr...

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Bibliographic Details
Main Authors: Masuhr Andreas, Trede Mark
Format: Article
Language:English
Published: De Gruyter 2020-07-01
Series:Dependence Modeling
Subjects:
copulas
partition-of-unity
bayesian estimation
cryptocurrencies
62h05
62h12
62g07
62p20
91b05
Online Access:https://doi.org/10.1515/demo-2020-0007

Internet

https://doi.org/10.1515/demo-2020-0007

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