In the present paper, we describe and explore new methods for constructing joint penalised complexity prior distributions,PC priors hereafter, on the additive model components that build up a more flexible model starting from a base model which wouldnot include those components. Although, an extension to the multivariate case has been already proposed, it is difficult to handle,especially in high-dimensional problems. So, we need something more manageable, particularly for computational purposes.We propose two different constructions of the multivariate PC prior, one based on the conditional PC prior distributions via theHammersley-Clifford theorem, the other one based on the marginal PC prior distributions by means of a copula approach

Extensions of the Univariate PC Prior / Battagliese, Diego. - In: ANNALI DEL DIPARTIMENTO DI METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO E LA FINANZA ..... - ISSN 2385-0825. - (2020), pp. 33-46.

Extensions of the Univariate PC Prior

Battagliese, Diego
2020

Abstract

In the present paper, we describe and explore new methods for constructing joint penalised complexity prior distributions,PC priors hereafter, on the additive model components that build up a more flexible model starting from a base model which wouldnot include those components. Although, an extension to the multivariate case has been already proposed, it is difficult to handle,especially in high-dimensional problems. So, we need something more manageable, particularly for computational purposes.We propose two different constructions of the multivariate PC prior, one based on the conditional PC prior distributions via theHammersley-Clifford theorem, the other one based on the marginal PC prior distributions by means of a copula approach
2020
Multivariate PC prior; Hammersley-Clifford theorem; Copula modeling; Gaussian copula
01 Pubblicazione su rivista::01a Articolo in rivista
Extensions of the Univariate PC Prior / Battagliese, Diego. - In: ANNALI DEL DIPARTIMENTO DI METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO E LA FINANZA ..... - ISSN 2385-0825. - (2020), pp. 33-46.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1492209
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