Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/67246
Type: Artigo de periódico
Title: Full Bayesian Analysis for a Model of Tail Dependence
Author: Rifo, LLR
Gonzalez-Lopez, V
Abstract: The family of the asymmetric logistic copulas appears naturally in modeling tail dependence. Within this family, some well-known models, as independence and logistic dependence, define precise hypotheses, having zero posterior probability for an absolute continuous posterior distribution. We show that the e-value associated to the Full Bayesian Significance Test has a good performance in non standard dependence problems, obtaining posterior estimates and predictive distributions. The analysis proposed is illustrated with two examples: (1) monthly sea level maxima at Newlyn and Sheerness, England (1990-2005) and (2) AIDS rates related to an educational indicator in U. S. Census Bureau (2007). We validate the inferences obtained through simulated data.
Subject: Asymmetric logistic copula
Full Bayesian significance test
Tail dependence
Country: EUA
Editor: Taylor & Francis Inc
Rights: fechado
Identifier DOI: 10.1080/03610926.2011.568159
Date Issue: 2012
Appears in Collections:Unicamp - Artigos e Outros Documentos

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