Article (Scientific journals)
Spline approximation to conditional Archimedean copula
Lambert, Philippe
2014In Stat, 3 (1), p. 200-217
Peer reviewed
 

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Keywords :
Archimedean copula; Conditional copula; P-splines
Abstract :
[en] 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 MCMC algorithms. The modelling strategy is illustrated with the analysis of bivariate growth curve data.
Disciplines :
Mathematics
Author, co-author :
Lambert, Philippe  ;  Université de Liège - ULiège > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales
Language :
English
Title :
Spline approximation to conditional Archimedean copula
Publication date :
March 2014
Journal title :
Stat
Publisher :
Wiley
Volume :
3
Issue :
1
Pages :
200-217
Peer reviewed :
Peer reviewed
Funders :
BELSPO - SPP Politique scientifique - Service Public Fédéral de Programmation Politique scientifique
FWB - Fédération Wallonie-Bruxelles [BE]
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since 24 May 2014

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