In this work we propose a semiparametric bivariate copula whose density is defined by a piecewise constant function on disjoint squares. We obtain the maximum likelihood estimators of model parameters and prove that they reduce to the sample copula under specific conditions. We further propose to carry out a full Bayesian analysis of the model and introduce a spatial dependent prior distribution for the model parameters. This prior allows the parameters to borrow strength across neighbouring regions to produce smooth posterior estimates. To characterise the posterior distribution, via the full conditional distributions, we propose a data augmentation technique. A Metropolis-Hastings step is required and we propose a novel adaptation scheme for the random walk proposal distribution. We implement a simulation study and an analysis of a real dataset to illustrate the performance of our model and inference algorithms.
翻译:在这项工作中,我们建议采用半对数双差相交共生体,其密度由脱节方形上的片状恒定函数确定。我们获得了模型参数的最大可能性估计值,并证明在特定条件下它们减少了样本相交共生体。我们进一步提议对模型进行全面的巴伊西亚分析,并引入模型参数的空间依赖性先行分布法。这之前允许参数在相邻区域借用强度,以得出平稳的后继估计。为了通过完全有条件的分布法来描述后继分布,我们建议了数据增强技术。需要一个大都会-哈斯廷步骤,我们建议了随机行走建议分布的新的调整方案。我们进行了模拟研究,并对真实数据集进行了分析,以说明我们的模型和推算法的性能。</s>