Bayesian estimation of a bivariate copula using the Jeffreys prior
نویسندگان
چکیده
منابع مشابه
Nonparametric Bayesian Estimation of a Bivariate Copula Using the Jeffreys Prior SIMON GUILLOTTE and FRANÇOIS PERRON
ABSTRACT. A bivariate distribution with continuous margins can be uniquely decomposed via a copula and its marginal distributions. We consider the problem of estimating the copula function and adopt a nonparametric Bayesian approach. On the space of copula functions, we construct a finite dimensional approximation subspace which is parameterized by a doubly stochastic matrix. A major problem he...
متن کاملcient Estimation in the Bivariate Normal Copula
Consider semiparametric bivariate copula models in which the family of copula functions is parametrized by a Euclidean parameter of interest and in which the two unknown marginal distributions are the in nite dimensional nuisance parameters The e cient score for can be characterized in terms of the solutions of two coupled Sturm Liouville equations In case the family of copula functions corresp...
متن کاملAdaptive Sparseness Using Jeffreys Prior
In this paper we introduce a new sparseness inducing prior which does not involve any (hyper)parameters that need to be adjusted or estimated. Although other applications are possible, we focus here on supervised learning problems: regression and classification. Experiments with several publicly available benchmark data sets show that the proposed approach yields state-of-the-art performance. I...
متن کاملNonparametric copula estimation under bivariate censoring
In this paper, we consider nonparametric copula inference under bivariate censoring. Based on an estimator of the joint cumulative distribution function, we define a discrete and two smooth estimators of the copula. The construction that we propose is valid for a large number of estimators of the distribution function, and therefore for a large number of bivariate censoring frameworks. Under so...
متن کاملBayesian Estimation of Reliability of the Electronic Components Using Censored Data from Weibull Distribution: Different Prior Distributions
The Weibull distribution has been widely used in survival and engineering reliability analysis. In life testing experiments is fairly common practice to terminate the experiment before all the items have failed, that means the data are censored. Thus, the main objective of this paper is to estimate the reliability function of the Weibull distribution with uncensored and censored data by using B...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2012
ISSN: 1350-7265
DOI: 10.3150/10-bej345