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Spline approximations to conditional Archimedean copula

Authors: Lambert, Philippe;

Spline approximations to conditional Archimedean copula

Abstract

We propose a flexible copula model to describe changes with a covariate in the dependence structure of (conditionally exchangeable) random variables. The starting point is a spline approximation to the generator of an Archimedean copula. Changes in the dependence structure with a covariate x are modelled by flexible regression of the spline coefficients on x. The performances and properties of the spline estimate of the reference generator and the abilities of these conditional models to approximate conditional copulas are studied through extensive simulations. Inference is made using Bayesian arguments with posterior distributions explored using importance sampling or adaptive Markov chain Monte Carlo algorithms. The modelling strategy is illustrated with the analysis of bivariate growth curve data. Copyright © 2014 John Wiley & Sons, Ltd.

Country
Belgium
Keywords

FOS: Computer and information sciences, Archimedean copula, Physique, chimie, mathématiques & sciences de la terre, P-splines, Statistics, Methodology (stat.ME), Mathématiques, Physical, chemical, mathematical & earth Sciences, B-splines, B-splines., conditional copula, Conditional copula, Mathematics, Statistics - Methodology

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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gold