- Bayesian Anal.
- Advance publication (2018), 29 pages.
Implicit Copulas from Bayesian Regularized Regression Smoothers
We show how to extract the implicit copula of a response vector from a Bayesian regularized regression smoother with Gaussian disturbances. The copula can be used to compare smoothers that employ different shrinkage priors and function bases. We illustrate with three popular choices of shrinkage priors—a pairwise prior, the horseshoe prior and a g prior augmented with a point mass as employed for Bayesian variable selection—and both univariate and multivariate function bases. The implicit copulas are high-dimensional, have flexible dependence structures that are far from that of a Gaussian copula, and are unavailable in closed form. However, we show how they can be evaluated by first constructing a Gaussian copula conditional on the regularization parameters, and then integrating over these. Combined with non-parametric margins the regularized smoothers can be used to model the distribution of non-Gaussian univariate responses conditional on the covariates. Efficient Markov chain Monte Carlo schemes for evaluating the copula are given for this case. Using both simulated and real data, we show how such copula smoothing models can improve the quality of resulting function estimates and predictive distributions.
Bayesian Anal., Advance publication (2018), 29 pages.
First available in Project Euclid: 20 December 2018
Permanent link to this document
Digital Object Identifier
Klein, Nadja; Smith, Michael Stanley. Implicit Copulas from Bayesian Regularized Regression Smoothers. Bayesian Anal., advance publication, 20 December 2018. doi:10.1214/18-BA1138. https://projecteuclid.org/euclid.ba/1545296445
- Supplementary Material for “Implicit Copulas from Bayesian Regularized Regression Smoothers”. This contains extensive additional material organized into five Parts A–F. It includes implementation details, proofs, additional examples, and tables and figures referred to throughout the text.
- MATLAB code for “Implicit Copulas from Bayesian Regularized Regression Smoothers”. This contains MATLAB files to implement the Bayesian regularized regression smoothers outlined in the paper.