Research Article
Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
Table 5
Absolute Bias and MSE of parameter estimates from the Bayesian estimation of the Clayton copula with different sample sizes.
| Parameter | Absolute Bias | MSE | = 0.25 | = 100 | = 500 | = 1000 | = 100 | = 500 | = 1000 |
| | 0.0819 | 0.0172 | 0.0100 | 0.0912 | 0.0123 | 0.0060 | | 0.0598 | 0.0033 | 0.0010 | 0.0793 | 0.0141 | 0.0052 | | 0.0488 | 0.0130 | 0.0093 | 0.0641 | 0.0132 | 0.0058 | | 0.0171 | 0.0105 | 0.0026 | 0.0915 | 0.0153 | 0.0047 | | 0.0571 | 0.0114 | 0.0098 | 0.0682 | 0.0145 | 0.0060 | | 0.0114 | 0.0131 | 0.0016 | 0.0747 | 0.0162 | 0.0045 | | 0.7584 | 0.2990 | 0.2099 | 0.7940 | 0.8015 | 0.6381 |
| = 0.50 | = 100 | = 500 | = 1000 | = 100 | = 500 | = 1000 |
| | 0.0414 | 0.0148 | 0.0098 | 0.0473 | 0.0101 | 0.0041 | | 0.0109 | 0.0010 | 0.0007 | 0.0650 | 0.0104 | 0.0044 | | 0.0405 | 0.0087 | 0.0015 | 0.0379 | 0.0091 | 0.0040 | | 0.0291 | 0.0087 | 0.0045 | 0.0750 | 0.0091 | 0.0037 | | 0.0328 | 0.0121 | 0.0095 | 0.0497 | 0.0104 | 0.0035 | | 0.0094 | 0.0016 | 0.0013 | 0.0535 | 0.0089 | 0.0040 | | 0.8278 | 0.4235 | 0.2075 | 0.7639 | 0.2002 | 0.1655 |
| = 0.75 | = 100 | = 500 | = 1000 | = 100 | = 500 | = 1000 |
| | 0.0183 | 0.0026 | 0.0009 | 0.0646 | 0.0095 | 0.0049 | | 0.0059 | 0.0012 | 0.0013 | 0.0822 | 0.0158 | 0.0073 | | 0.0178 | 0.0048 | 0.0033 | 0.0533 | 0.0103 | 0.0056 | | 0.0252 | 0.0037 | 0.0013 | 0.0816 | 0.0104 | 0.0049 | | 0.0290 | 0.0190 | 0.0057 | 0.0709 | 0.0107 | 0.0054 | | 0.0061 | 0.0010 | 0.0010 | 0.0715 | 0.0164 | 0.0045 | | 0.5555 | 0.5387 | 0.4306 | 0.3322 | 0.2926 | 0.2831 |
|
|