Modelling dependence using skew t copulas: Bayesian inference and applications
构建了一种基于偏斜t分布的连接函数，能捕捉变量间的非对称和极端依赖，并通过贝叶斯方法解决高维或离散边缘分布下的估计难题，在澳大利亚电力市场和多网站广告效果分析中验证了其优越性。
Abstract We construct a copula from the skew t distribution of Sahu et al. ( 2003 ). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the copula model by maximum likelihood when the multivariate dimension is high, or when some or all of the marginal distributions are discrete‐valued, or when the parameters in the marginal distributions and copula are estimated jointly. We therefore propose a Bayesian approach that overcomes all these problems. The computations are undertaken using a Markov chain Monte Carlo simulation method which exploits the conditionally Gaussian representation of the skew t distribution. We employ the approach in two contemporary econometric studies. The first is the modelling of regional spot prices in the Australian electricity market. Here, we observe complex non‐Gaussian margins and nonlinear inter‐regional dependence. Accurate characterization of this dependence is important for the study of market integration and risk management purposes. The second is the modelling of ordinal exposure measures for 15 major websites. Dependence between websites is important when measuring the impact of multi‐site advertising campaigns. In both cases the skew t copula substantially outperforms symmetric elliptical copula alternatives, demonstrating that the skew t copula is a powerful modelling tool when coupled with Bayesian inference. Copyright © 2010 John Wiley & Sons, Ltd.