论文标题
贝叶斯等级副校长模型，带有Dirichlet-Laplace先验
Bayesian Hierarchical Copula Models with a Dirichlet-Laplace Prior
论文作者
论文摘要
我们讨论了用于财务时间群集群的贝叶斯分层模型。最近的论文也开发了类似的方法。但是，提出的先前分布并不总是提供适当的后部。为了避免问题，我们采用了适当的全球局部收缩先验，这也能够说明不同集群之间的潜在依赖性结构。提出的模型的性能是通过仿真和真实数据分析提出的。
We discuss a Bayesian hierarchical copula model for clusters of financial time series. A similar approach has been developed in recent paper. However, the prior distributions proposed there do not always provide a proper posterior. In order to circumvent the problem, we adopt a proper global-local shrinkage prior, which is also able to account for potential dependence structures among different clusters. The performance of the proposed model is presented via simulations and a real data analysis.
