Bayesian copula selection


In recent years, the use of copulas has grown extremely fast and with it, the need for a simple and reliable method to choose the right copula family. Existing methods pose numerous difficulties and none is entirely satisfactory.We propose a Bayesian method to select the most probable copula family among a given set. The copula parameters are treated as… (More)
DOI: 10.1016/j.csda.2005.08.010


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