PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

MCMC methods for Bayesian mixtures of copulas
Ricardo Silva and Robert Gramacy
JMLR Workshop and Conference Proceedings: AISTATS 2009 Volume 5, pp. 512-519, 2009.

Abstract

Applications of copula models have been in- creasing in number in recent years. This class of models provides a modular parameteriza- tion of joint distributions: the specification of the marginal distributions is parameterized separately from the dependence structure of the joint, a convenient way of encoding a model for domains such as finance. Some re- cent advances on how to specify copulas for arbitrary dimensions have been proposed, by means of mixtures of decomposable graphi- cal models. This paper introduces a Bayesian approach for dealing with mixtures of copu- las which, due to the lack of prior conjugacy, raise computational challenges. We motivate and present families of Markov chain Monte Carlo (MCMC) proposals that exploit the particular structure of mixtures of copulas. Different algorithms are evaluated according to their mixing properties, and an application in financial forecasting with missing data il- lustrates the usefulness of the methodology.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:5608
Deposited By:Ricardo Silva
Deposited On:08 March 2010