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A Bayesian semiparametric Archimedean copula

  • arXiv (Cornell University)
  • Cornell University
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Abstract

An Archimedean copula is characterised by its generator. This is a real function whose inverse behaves as a survival function. We propose a semiparametric generator based on a quadratic spline. This is achieved by modelling the first derivative of a hazard rate function, in a survival analysis context, as a piecewise constant function. Convexity of our semiparametric generator is obtained by imposing some simple constraints. The induced semiparametric Archimedean copula produces Kendall's tau association measure that covers the whole range $(-1,1)$. Inference on the model is done under a Bayesian approach and for some prior specifications we are able to perform an independence test. Properties of the model are illustrated with a simulation study as well as with a real dataset.

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Publication details

DOI
10.48550/arxiv.1812.07700
OpenAlex
W2905365695
Document type
preprint
Language
EN
Source
arXiv (Cornell University)
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