Efficient Bayesian inference for Gaussian copula regression models

被引:147
作者
Pitt, Michael [1 ]
Chan, David
Kohn, Robert
机构
[1] Univ Warwick, Dept Econ, Coventry CV4 7AL, W Midlands, England
[2] Cendant Corp, Parsippany, NJ 07054 USA
[3] Univ New S Wales, Fac Commerce & Econ, Sydney, NSW 2052, Australia
基金
澳大利亚研究理事会;
关键词
covariance selection; graphical model; Markov chain Monte Carlo; multivariate analysis; non-Gaussian data;
D O I
10.1093/biomet/93.3.537
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
A Gaussian copula regression model gives a tractable way of handling a multivariate regression when some of the marginal distributions are non-Gaussian. Our paper presents a general Bayesian approach for estimating a Gaussian copula model that can handle any combination of discrete and continuous marginals, and generalises Gaussian graphical models to the Gaussian copula framework. Posterior inference is carried out using a novel and efficient simulation method. The methods in the paper are applied to simulated and real data.
引用
收藏
页码:537 / 554
页数:18
相关论文
共 23 条
[1]  
Barnard J, 2000, STAT SINICA, V10, P1281
[2]   Markov chain Monte Carlo analysis of correlated count data [J].
Chib, S ;
Winkelmann, R .
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2001, 19 (04) :428-435
[3]   Analysis of multivariate probit models [J].
Chib, S ;
Greenberg, E .
BIOMETRIKA, 1998, 85 (02) :347-361
[4]  
DEB P, 1997, J APPL ECONOMET, V86, P33
[5]   COVARIANCE SELECTION [J].
DEMPSTER, AP .
BIOMETRICS, 1972, 28 (01) :157-&
[6]   Industry costs of equity [J].
Fama, EF ;
French, KR .
JOURNAL OF FINANCIAL ECONOMICS, 1997, 43 (02) :153-193
[7]  
GIBBONS M, 1982, J FINANC ECON, V14, P217
[8]   Decomposable graphical Gaussian model determination [J].
Giudici, P ;
Green, PJ .
BIOMETRIKA, 1999, 86 (04) :785-801
[9]  
Joe H, 1997, MULTIVARIATE MODELS