Introduction to Bayesian Estimation and Copula Models of Dependence

Index

a

• A-volume
• ABS
• accept-reject method
• acceptance probability
• acceptance rate
• Akaike information criterion (AIC)
• antithtetic variables
• Archimedean copula
• association parameter
• autocorrelation
  • sample (SACF)
• autoregressive models

b

• backcasting
• bank size
• baseline hazard
• Bayes
  • empirical
    • nonparametric
  • estimator
  • factor
• Bayesian
  • inference
• Bayesian information criterion (BIC)
• BB1
  • copula
• beta-geometric (BG)
• bias
• Black-Scholes formula
• block updates
• Box-Mueller algorithm
• broken heart syndrome
• burn-in

c

• C-vine
• CDO
• censoring
• central limit theorem
• Clayton copula
• cluster copula
• co-copula
• coefficient of determination
• common disaster
• common lifestyle
• common shock
• communicating class
• computer assembly
• concordance
• concordant
• conditional probability
• control variates
• copula
  • i
  • Archimedean
    • hierarchical
  • BB1
  • Clayton
  • cluster
  • density
  • dual
  • elliptical
  • empirical
  • Farlie-Gumbel-Morgenstern (FGM)
  • Frank
  • Gaussian
  • Gumbel-Hougaard
  • hierarchical
  • inner
  • maximum
  • minimum
  • nesting
  • outer
  • pair
  • product
  • RLUF
  • survival
  • vine
• copula function
• copula parameter
• correlation
  • matrix
  • rank
    • Kendall
    • Spearman
• coupling
  • backward
  • from the past (CFTP)
• covariance
  • matrix
• Cox model
• Cramer-von Mises test
• crankshaft position sensor
• credible
  • interval
• critical region
• cumulative distribution function
• customer retention

d

• D-vine
• degrees of freedom
• density
  • copula
  • instrumental
  • joint
  • marginal
  • predictive
    • posterior
  • stationary state
  • target
  • transition
• detailed balance equation
• deviance
• deviance information ...