Approximate Bayesian Inference in Semiparametric Copula Models

[摘要] We describe a simple method for making inference on a functional of a multivariate distribution, based on its copula representation. We make use of an approximate Bayesian Monte Carlo algorithm, where the proposed values of the functional of interest are

[学科分类] 统计和概率

[关键词] multivariate dependence;Bayesian exponentially tilted empirical likelihood;Spearman’s ρ;tail dependence coefficients;partially specified models