[Forum SIS] Avviso di seminario

Mer 8 Maggio 2013 14:05:41 CEST

Martedì 21 maggio 2013 

Radu Craiu (University of Toronto) terrà il seminario dal titolo:

“Bayesian Inference for Conditional Copula models with Continuous and Binary Responses”

presso la Facoltà di Scienze Politiche, Economiche e Sociali dell’Università degli studi di Milano (aula seminari DEMM, via Conservatorio 7). 

Il seminario è programmato dalle ore 12.30 alle ore 14.00 circa. 

Abstract

The conditional copula device can be used in a wide range of regression models where of interest is also the study of dependence between response variables. 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 modeled via polynomial splines. We discuss the computation algorithm required for inference and demonstrate the performance of model selection techniques on simulated and real data.

References:
1) Elif F. Acar, Radu V. Craiu and Fang Yao (2011). Dependence Calibration in Conditional Copulas: A Nonparametric Approach. Biometrics, 67, No. 2, 445-453.
2) Radu V. Craiu and Avideh Sabeti (2012). In Mixed Company: Bayesian Inference for Conditional Copulas Models with Discrete and Continuous Outcomes. Journal of Multivariate Analysis, 110, 106—120.

Tutti gli interessati sono invitati a partecipare.

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Francesca De Battisti
Dipartimento di Economia, Management e Metodi Quantitativi 
(III piano, studio n. 29)
Via Conservatorio 7
20122 - Milano
Tel: 02.50321464
Fax: 02.50321505
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