Research Article
Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
Table 1
Mean and standard deviation of the Bayesian estimate of the Gumbel copula at three quantile levels.
| | Parameter | True | = 0.25 | True | = 0.50 | True | = 0.75 |
| | 1 | 0.918 (0.114) | 1 | 0.828 (0.058) | 1 | 1.258 (0.052) | | 1 | 1.187 (0.105) | 5 | 5.024 (0.036) | 2 | 1.697 (0.045) | | 1 | 1.035 (0.100) | 1 | 0.949 (0.053) | 1 | 1.225 (0.060) | | 4 | 3.580 (0.092) | 2 | 2.384 (0.395) | 4 | 3.570 (0.210) | | −3 | −3.009 (0.101) | −2 | −1.819 (0.152) | −0.2 | −0.198 (0.070) | | 2 | 2.091 (0.204) | 2 | 1.984 (0.088) | 2 | 3.242 (0.051) | | 2 | 2.308 (0.101) | 5 | 4.883 (0.088) | 1 | 0.904 (0.089) | | 3 | 3.736 (0.101) | 2 | 1.938 (0.196) | 3 | 2.659 (0.162) | | 3 | 3.125 (0.310) | 3 | 3.020 (0.302) | 3 | 3.147 (0.313) | | 2.5 | 2.458 (0.076) | 2.5 | 2.535 (0.072) | 2.5 | 2.401 (0.085) |
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Note: ( ) is the average standard deviation of the parameters.
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