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
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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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