Séance Séminaire

Séminaire de Probabilités et Statistique

Bayesian Inference for Conditional Copula models with Continuous and Binary Responses

The conditional copula device allows a wider range for using copula models in the study of dependence between response variables in regression settings. We consider situations in which the dependence structure varies with covariates and we introduce a Bayesian model which allows for joint estimation of the marginal and joint models. The dependence between the copula parameter and the covariates is modelled via polynomial splines. We discuss the computation algorithm required for inference and demonstrate the performance of model selection techniques on simulated and real data.