A Bayesian semiparametric Archimedean copula
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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.
Publication details
- DOI
- 10.48550/arxiv.1812.07700
- OpenAlex
- W2905365695
- Document type
- preprint
- Language
- EN
- Source
- arXiv (Cornell University)
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