Research Article
Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
Table 6
Absolute Bias and MSE of parameter estimates from the Bayesian estimation of the Frank copula with different sample sizes.
| Parameter | Absolute Bias | MSE | = 0.25 | = 100 | = 500 | = 1000 | = 100 | = 500 | = 1000 |
| | 0.0155 | 0.0151 | 0.0061 | 0.0803 | 0.0100 | 0.0064 | | 0.0003 | 0.0071 | 0.0042 | 0.0874 | 0.0127 | 0.0059 | | 0.0367 | 0.0058 | 0.0016 | 0.0774 | 0.0123 | 0.0076 | | 0.0114 | 0.0083 | 0.0053 | 0.0694 | 0.0134 | 0.0070 | | 0.0078 | 0.0038 | 0.0030 | 0.0899 | 0.0135 | 0.0042 | | 0.0078 | 0.0012 | 0.0008 | 0.0778 | 0.0108 | 0.0063 | | 0.7279 | 0.7099 | 0.5023 | 0.6394 | 0.5238 | 0.4236 |
| = 0.50 | = 100 | = 500 | = 1000 | = 100 | = 500 | = 1000 |
| | 0.0160 | 0.0070 | 0.0070 | 0.0411 | 0.0082 | 0.0002 | | 0.0150 | 0.0057 | 0.0050 | 0.0627 | 0.0102 | 0.0004 | | 0.0157 | 0.0068 | 0.0010 | 0.0497 | 0.0086 | 0.0006 | | 0.0053 | 0.0015 | 0.0005 | 0.4675 | 0.0096 | 0.0004 | | 0.0082 | 0.0001 | 0.0000 | 0.0441 | 0.0106 | 0.0050 | | 0.0240 | 0.0002 | 0.0001 | 0.0549 | 0.0075 | 0.0023 | | 0.0058 | 0.0095 | 0.0003 | 0.1395 | 0.0284 | 0.0015 |
| = 0.75 | = 100 | = 500 | = 1000 | = 100 | = 500 | = 1000 |
| | 0.0013 | 0.0001 | 0.0009 | 0.0741 | 0.0108 | 0.0028 | | 0.0216 | 0.0173 | 0.0042 | 0.0676 | 0.0126 | 0.0058 | | 0.0107 | 0.0057 | 0.0034 | 0.0575 | 0.0101 | 0.0052 | | 0.0179 | 0.0019 | 0.0018 | 0.0575 | 0.0159 | 0.0052 | | 0.0217 | 0.0060 | 0.0011 | 0.0753 | 0.0131 | 0.0051 | | 0.0245 | 0.0122 | 0.0021 | 0.0697 | 0.0119 | 0.0061 | | 1.3613 | 1.0375 | 0.3658 | 0.9613 | 0.9184 | 0.8112 |
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