Introduction to Bayesian Estimation and Copula Models of Dependence

Acronyms

ABS	asset-backed security
AR	autoregressive
ARCH	autoregressive conditional heteroskedasticity
ARIMA	autoregressive integrated moving averages
BB1	Joe’s BB1
BG	beta-geometric mixture model
BUGS	Bayes using Gibbs sampler (software)
CDO	collateralized debt obligation
CDS	credit default swap
CFTP	coupling from the past
CLT	the Central Limit Theorem
CMLE	canonical maximum likelihood estimation (estimates)
c.d.f.	cumulative distribution function
ENIAC	electronic numerical integrator and computer
FGM	Farlie–Gumbel–Morgenstern copulas
FTD	first-to-default (swaps)
GARCH	generalized autoregressive conditional heteroskedasticity
HAC	hierarchical Archimedean copula
HKC	hierarchical Kendall copula
IFM	inference from margins
i.i.d.	independent identically distributed
IMA	independent Metropolis algorithm
ISBA	International Society for Bayesian Analysis
JAGS	just another Gibbs sampler (software)
LLN	the Law of Large Numbers
MANIAC	mathematical analyzer, numerator, integrator, and computer
MCMC	Markov chain Monte Carlo
MHA	Metropolis–Hastings algorithm
MLE	maximum likelihood estimation (estimates)
MPLE	maximum pseudo-likelihood estimation (estimates)
PCC	pair copula construction
PD	probability of default
p.d.f	probability density function
RLUF	Rodriguez Lallena and Ubeda Flores copulas
RTO	regression through the origin
RWMHA	random walk Metropolis–Hastings algorithm
SACF	sample autocorrelation function