bayesian-nonparametrics

Bayesian nonparametric modeling of conditional multidimensional dependence structures

Rosario Barone and Luciana Dalla Valle / 2023-05-19

In many real data applications we are often required to model jointly \(d\geq 3\) continuous random variables, denoted as \(Y_1,\dots,Y_d\) . The multivariate distribution, which allows us to describe the joint behaviour of those variables, can be denoted as \(F(Y_1,\dots,Y_d)=P(Y_1\le…

copula-models

Weighted residual empirical processes in semi-parametric copula adjusted for regression

Yue Zhao, Irène Gijbels and Ingrid Van Keilegom / 2022-12-07

In this post we first review the concept of semi-parametric copula and the accompanying estimation procedure of pseudo-likelihood estimation (PLE). We then generalize the estimation problem to the setting where the copula signal is hidden in a semi- or non-parametric regression model. Under this…