Statistics – Methodology
Scientific paper
2009-08-17
Statistics
Methodology
28 pages, 6 figures
Scientific paper
A bivariate distribution with continuous margins can be uniquely decomposed via a copula and its marginal distributions. We consider the problem of estimating the copula function and adopt a nonparametric Bayesian approach. On the space of copula functions, we construct a finite dimensional approximation subspace which is parameterized by a doubly stochastic matrix. A major problem here is the selection of a prior distribution on the space of doubly stochastic matrices also known as the Birkhoff polytope. The main contributions ofthis paper are the derivation of a simple formula for the Jeffreys prior and showing that it is proper. It is known in the literature that for a complex problem like the one treated here, the latter result is difficult to show. The Bayes estimator resulting from the Jeffreys prior is then evaluated numerically via Markov chain Monte Carlo methodology. A rather extensive simulation experiment is carried out. In many cases, the results favor the Bayes estimator over frequentist estimators such as the standard kernel estimator and the Deheuvels estimator in terms of mean integrated squared error.
Guillotte Simon
Perron Francois
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