Research Article
Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
Table 2
Mean and standard deviation of the Bayesian estimate of the Clayton copula at three quantile levels.
| | Parameter | True | = 0.25 | True | = 0.50 | True | = 0.75 |
| | 1 | 1.004 (0.036 | 1 | 1.141 (0.057) | 1 | 0.929 (0.132) | | 1 | 1.114 (0.033) | 5 | 5.071 (0.105) | 2 | 1.944 (0.100) | | 1 | 1.027 (0.096) | 1 | 0.8104 (0.053) | 1 | 1.205 (0.073) | | 4 | 3.524 (0.033) | 2 | 2.443 (0.035) | 4 | 4.742 (0.055) | | −3 | −2.967 (0.035) | −2 | −2.179 (0.115) | −0.2 | −0.1284 (0.0034) | | 2 | 2.107 (0.197) | 2 | 2.226 (0.083) | 2 | 2.062 (1.413) | | 2 | 2.281 (0.100 | 5 | 5.030 (0.098) | 1 | 0.833 (0.078) | | 3 | 3.752 (0.083) | 2 | 1.627 (0.153) | 3 | 2.655 (0.157) | | 3 | 3.158 (0.300) | 3 | 3.096 (0.292) | 3 | 2.709 (0.256) | | 0.5 | 0.3792 (0.095) | 0.5 | 0.370 (0.097) | 0.5 | 0.471 (0.106) |
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Note: ( ) is the average standard deviation of the parameters.
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