Estimation Of Copula Models With Discrete Margins Via Bayesian Data Augmentation

Publisher:
Amer Statistical Assoc
Publication Type:
Journal Article
Citation:
Journal of the American Statistical Association, 2012, 107 (497), pp. 290 - 303
Issue Date:
2012-01
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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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