Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
We propose a high-dimensional copula to model the dependence structure of the seemingly unrelated quantile regression. As the conventional model faces with the strong assumption of the multivariate normal distribution and the linear dependence structure, thus, we apply the multivariate exchangeable...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/6746303 |
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| _version_ | 1832554093614202880 |
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| author | Nachatchapong Kaewsompong Paravee Maneejuk Woraphon Yamaka |
| author_facet | Nachatchapong Kaewsompong Paravee Maneejuk Woraphon Yamaka |
| author_sort | Nachatchapong Kaewsompong |
| collection | DOAJ |
| description | We propose a high-dimensional copula to model the dependence structure of the seemingly unrelated quantile regression. As the conventional model faces with the strong assumption of the multivariate normal distribution and the linear dependence structure, thus, we apply the multivariate exchangeable copula function to relax this assumption. As there are many parameters to be estimated, we consider the Bayesian Markov chain Monte Carlo approach to estimate the parameter interests in the model. Four simulation studies are conducted to assess the performance of our proposed model and Bayesian estimation. Satisfactory results from simulation studies are obtained suggesting the good performance and reliability of the Bayesian method used in our proposed model. The real data analysis is also provided, and the empirical comparison indicates our proposed model outperforms the conventional models in all considered quantile levels. |
| format | Article |
| id | doaj-art-7919b07fb6f54f6892c3cbf518043d79 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-7919b07fb6f54f6892c3cbf518043d792025-02-03T05:52:29ZengWileyComplexity1076-27871099-05262020-01-01202010.1155/2020/67463036746303Bayesian Estimation of Archimedean Copula-Based SUR Quantile ModelsNachatchapong Kaewsompong0Paravee Maneejuk1Woraphon Yamaka2Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai 50200, ThailandCenter of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai 50200, ThailandCenter of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai 50200, ThailandWe propose a high-dimensional copula to model the dependence structure of the seemingly unrelated quantile regression. As the conventional model faces with the strong assumption of the multivariate normal distribution and the linear dependence structure, thus, we apply the multivariate exchangeable copula function to relax this assumption. As there are many parameters to be estimated, we consider the Bayesian Markov chain Monte Carlo approach to estimate the parameter interests in the model. Four simulation studies are conducted to assess the performance of our proposed model and Bayesian estimation. Satisfactory results from simulation studies are obtained suggesting the good performance and reliability of the Bayesian method used in our proposed model. The real data analysis is also provided, and the empirical comparison indicates our proposed model outperforms the conventional models in all considered quantile levels.http://dx.doi.org/10.1155/2020/6746303 |
| spellingShingle | Nachatchapong Kaewsompong Paravee Maneejuk Woraphon Yamaka Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models Complexity |
| title | Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models |
| title_full | Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models |
| title_fullStr | Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models |
| title_full_unstemmed | Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models |
| title_short | Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models |
| title_sort | bayesian estimation of archimedean copula based sur quantile models |
| url | http://dx.doi.org/10.1155/2020/6746303 |
| work_keys_str_mv | AT nachatchapongkaewsompong bayesianestimationofarchimedeancopulabasedsurquantilemodels AT paraveemaneejuk bayesianestimationofarchimedeancopulabasedsurquantilemodels AT woraphonyamaka bayesianestimationofarchimedeancopulabasedsurquantilemodels |