A Bayesian semiparametric Archimedean copula
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 . 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.
Keywords
Cite
@article{arxiv.1812.07700,
title = {A Bayesian semiparametric Archimedean copula},
author = {Ricardo Hoyos and Luis Nieto-Barajas},
journal= {arXiv preprint arXiv:1812.07700},
year = {2019}
}