Estimation Of Copula Models With Discrete Margins Via Bayesian Data Augmentation
- Amer Statistical Assoc
- Publication Type:
- Journal Article
- Journal of the American Statistical Association, 2012, 107 (497), pp. 290 - 303
- Issue Date:
Estimation of copula models with discrete margins can be difficult beyond the bivariate case. We show how this can be achieved by augmenting the likelihood with continuous latent variables, and computing inference using the resulting augmented posterior.
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