2 papers
stat.ME2024
Bayesian nonparametric mixtures of Archimedean copulas
Ruyi Pan, Luis E. Nieto-Barajas, Radu V. Craiu
Copula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are n…
stat.ME2024
Multivariate temporal dependence via mixtures of rotated copulas
Ruyi Pan, Luis E. Nieto-Barajas, Radu Craiu
Parametric copula families have been known to flexibly capture various dependence patterns, e.g., either positive or negative dependence in either the lower or upper tails of bivar…