We develop efficient Bayesian inference for the one factor copula model with two significant contributions over existing methodologies. First, our approach leads to straightforward inference on dependence parameters and the latent factor; only inference on the former is available under frequentist alternatives. Second, we develop a reversible jump Markov chain Monte Carlo algorithm that averages over models constructed from different bivariate copula building blocks. Our approach accommodates any combination of discrete and continuous margins. Through extensive simulations, we compare the computational and Monte Carlo efficiency of alternative proposed sampling schemes. The preferred algorithm provides reliable inference on parameters, the latent factor and model space. The potential of the methodology is highlighted in an empirical study of ten binary measures of socio-economic deprivation collected for 11463 East Timorese households.


Anastasios Panagiotelis

Research Area

Monash University


Fri, 09/03/2018 - 4:00pm


RC-4082, Red Centre, UNSW