Research Article
Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
Table 3
Mean and standard deviation of the Bayesian estimate of the Frank copula at three quantile levels.
| | Parameter | True | = 0.25 | True | = 0.50 | True | = 0.75 |
| | 1 | 1.016 (0.127) | 1 | 1.012 (0.067) | 1 | 1.509 (0.046) | | 1 | 1.196 (0.153) | 5 | 4.795 (0.403) | 2 | 1.738 (0.043) | | 1 | 1.599 (0.124) | 1 | 1.179 (0.149) | 1 | 0.739 (0.060) | | 4 | 3.038 (0.809) | 2 | 2.389 (1.001) | 4 | 3.640 (0.349) | | −3 | −2.841 (0.061) | −2 | −2.371 (0.578) | −0.2 | −0.182 (0.060) | | 2 | 1.791 (0.045) | 2 | 2.496 (0.551) | 2 | 2.514 (0.242) | | 2 | 2.070 (0.104) | 5 | 5.113 (0.110) | 1 | 1.099 (0.109) | | 3 | 3.135 (0.209) | 2 | 1.896 (0.189) | 3 | 3.193 (0.224) | | 3 | 3.291 (0.332) | 3 | 3.019 (0.366) | 3 | 3.044 (0.301) | | 2 | 2.979 (0.481) | 2 | 3.015 (0.458) | 2 | 1.977 (0.419) |
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Note: ( ) is the average standard deviation of the parameters.
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