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Bayesian Inference for a 1-Factor Copula Model

journal contribution

posted on 2022-11-09, 02:42 authored by Ban Kheng Tan, Anastasios Panagiotelis, George Athanasopoulos

We develop efficient Bayesian inference for the 1-factor copula model with two significant contributions over classical inference.

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Classification-JEL

C11, C15, C32, C58, C63

Creation date

2017-03-24

Working Paper Series Number

6/17

Length

39

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-6

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Keywords

model averaging reversible jump MCMC vine copulas dimension reduction multidimensional poverty index.

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