Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate
Bayesian techniques have been applied to analyze sequential investment decisions in the capital budgeting literature. This article introduces copula-based Bayesian analysis as an alternative to the traditional approach where conjugate relationships do not exist. Using a numerical example, we illustr...
Gespeichert in:
| Veröffentlicht in: | The Engineering economist 2015-04, Vol.60 (2), p.89-108 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 108 |
|---|---|
| container_issue | 2 |
| container_start_page | 89 |
| container_title | The Engineering economist |
| container_volume | 60 |
| creator | Herath, Hemantha S. B. Kumar, Pranesh |
| description | Bayesian techniques have been applied to analyze sequential investment decisions in the capital budgeting literature. This article introduces copula-based Bayesian analysis as an alternative to the traditional approach where conjugate relationships do not exist. Using a numerical example, we illustrate the steps involved in the copula-based Bayesian approach. Graphical techniques for selecting an appropriate copula are also discussed. The unique ability of copulas to model nonlinear dependence rationalizes the use of copula functions as an alternative technique. |
| doi_str_mv | 10.1080/0013791X.2014.962719 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_infor</sourceid><recordid>TN_cdi_proquest_journals_1679729412</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>1709724311</sourcerecordid><originalsourceid>FETCH-LOGICAL-c469t-49543013dd2ddc031e0f92679ff7cd77bddfc856ac321d4df3a9814af9a08d33</originalsourceid><addsrcrecordid>eNp9kMtKAzEUhoMoWKtv4CLgxs3U3KZp3EgtVoWCmwruQsylpkyTMZlB-vZmqG5cuDqL8_3n8gFwidEEoxm6QQhTLvDbhCDMJmJKOBZHYIRrxivCET4GowGpBuYUnOW8RQgxUtcjsH7NPmzgIrZ9o-CyD7rzMWToA7xXe5u9CnAeVLPPPt_CeQF3rUo-xwCjg92Hhau4CTHtVFN6YdtvVGfPwYlTTbYXP3UM1suH9eKpWr08Pi_mq0qzqegqJmpGy13GEGM0otgiJ8iUC-e4Npy_G-P0rJ4qTQk2zDiqxAwz5YRCM0PpGFwfxrYpfvY2d3Lns7ZNo4KNfZaYI8EJoxgX9OoPuo19Kn8VqizkRDBMCsUOlE4x52SdbJPfqbSXGMnBtPw1LQfT8mC6xO4OMR_cYOIrpsbITu2bmFxSQfss6b8TvgELXoRn</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1679729412</pqid></control><display><type>article</type><title>Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate</title><source>Business Source Complete</source><creator>Herath, Hemantha S. B. ; Kumar, Pranesh</creator><creatorcontrib>Herath, Hemantha S. B. ; Kumar, Pranesh</creatorcontrib><description>Bayesian techniques have been applied to analyze sequential investment decisions in the capital budgeting literature. This article introduces copula-based Bayesian analysis as an alternative to the traditional approach where conjugate relationships do not exist. Using a numerical example, we illustrate the steps involved in the copula-based Bayesian approach. Graphical techniques for selecting an appropriate copula are also discussed. The unique ability of copulas to model nonlinear dependence rationalizes the use of copula functions as an alternative technique.</description><identifier>ISSN: 0013-791X</identifier><identifier>EISSN: 1547-2701</identifier><identifier>DOI: 10.1080/0013791X.2014.962719</identifier><identifier>CODEN: ENECAR</identifier><language>eng</language><publisher>Norcross: Taylor & Francis</publisher><subject>Bayesian analysis ; Capital budgeting ; Conjugates ; Decision making ; Financing ; Investment ; Mathematical analysis ; Mathematical functions ; Mathematical models ; Nonlinearity ; Probability distribution ; Studies</subject><ispartof>The Engineering economist, 2015-04, Vol.60 (2), p.89-108</ispartof><rights>Copyright © 2015 Institute of Industrial Engineers 2015</rights><rights>Copyright Taylor & Francis Inc. 2015</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c469t-49543013dd2ddc031e0f92679ff7cd77bddfc856ac321d4df3a9814af9a08d33</citedby><cites>FETCH-LOGICAL-c469t-49543013dd2ddc031e0f92679ff7cd77bddfc856ac321d4df3a9814af9a08d33</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,27901,27902</link.rule.ids></links><search><creatorcontrib>Herath, Hemantha S. B.</creatorcontrib><creatorcontrib>Kumar, Pranesh</creatorcontrib><title>Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate</title><title>The Engineering economist</title><description>Bayesian techniques have been applied to analyze sequential investment decisions in the capital budgeting literature. This article introduces copula-based Bayesian analysis as an alternative to the traditional approach where conjugate relationships do not exist. Using a numerical example, we illustrate the steps involved in the copula-based Bayesian approach. Graphical techniques for selecting an appropriate copula are also discussed. The unique ability of copulas to model nonlinear dependence rationalizes the use of copula functions as an alternative technique.</description><subject>Bayesian analysis</subject><subject>Capital budgeting</subject><subject>Conjugates</subject><subject>Decision making</subject><subject>Financing</subject><subject>Investment</subject><subject>Mathematical analysis</subject><subject>Mathematical functions</subject><subject>Mathematical models</subject><subject>Nonlinearity</subject><subject>Probability distribution</subject><subject>Studies</subject><issn>0013-791X</issn><issn>1547-2701</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2015</creationdate><recordtype>article</recordtype><recordid>eNp9kMtKAzEUhoMoWKtv4CLgxs3U3KZp3EgtVoWCmwruQsylpkyTMZlB-vZmqG5cuDqL8_3n8gFwidEEoxm6QQhTLvDbhCDMJmJKOBZHYIRrxivCET4GowGpBuYUnOW8RQgxUtcjsH7NPmzgIrZ9o-CyD7rzMWToA7xXe5u9CnAeVLPPPt_CeQF3rUo-xwCjg92Hhau4CTHtVFN6YdtvVGfPwYlTTbYXP3UM1suH9eKpWr08Pi_mq0qzqegqJmpGy13GEGM0otgiJ8iUC-e4Npy_G-P0rJ4qTQk2zDiqxAwz5YRCM0PpGFwfxrYpfvY2d3Lns7ZNo4KNfZaYI8EJoxgX9OoPuo19Kn8VqizkRDBMCsUOlE4x52SdbJPfqbSXGMnBtPw1LQfT8mC6xO4OMR_cYOIrpsbITu2bmFxSQfss6b8TvgELXoRn</recordid><startdate>20150403</startdate><enddate>20150403</enddate><creator>Herath, Hemantha S. B.</creator><creator>Kumar, Pranesh</creator><general>Taylor & Francis</general><general>Taylor & Francis Inc</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7TB</scope><scope>8FD</scope><scope>FR3</scope><scope>KR7</scope><scope>7SC</scope><scope>JQ2</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope></search><sort><creationdate>20150403</creationdate><title>Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate</title><author>Herath, Hemantha S. B. ; Kumar, Pranesh</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c469t-49543013dd2ddc031e0f92679ff7cd77bddfc856ac321d4df3a9814af9a08d33</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2015</creationdate><topic>Bayesian analysis</topic><topic>Capital budgeting</topic><topic>Conjugates</topic><topic>Decision making</topic><topic>Financing</topic><topic>Investment</topic><topic>Mathematical analysis</topic><topic>Mathematical functions</topic><topic>Mathematical models</topic><topic>Nonlinearity</topic><topic>Probability distribution</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Herath, Hemantha S. B.</creatorcontrib><creatorcontrib>Kumar, Pranesh</creatorcontrib><collection>CrossRef</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>Technology Research Database</collection><collection>Engineering Research Database</collection><collection>Civil Engineering Abstracts</collection><collection>Computer and Information Systems Abstracts</collection><collection>ProQuest Computer Science Collection</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Computer and Information Systems Abstracts Academic</collection><collection>Computer and Information Systems Abstracts Professional</collection><jtitle>The Engineering economist</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Herath, Hemantha S. B.</au><au>Kumar, Pranesh</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate</atitle><jtitle>The Engineering economist</jtitle><date>2015-04-03</date><risdate>2015</risdate><volume>60</volume><issue>2</issue><spage>89</spage><epage>108</epage><pages>89-108</pages><issn>0013-791X</issn><eissn>1547-2701</eissn><coden>ENECAR</coden><abstract>Bayesian techniques have been applied to analyze sequential investment decisions in the capital budgeting literature. This article introduces copula-based Bayesian analysis as an alternative to the traditional approach where conjugate relationships do not exist. Using a numerical example, we illustrate the steps involved in the copula-based Bayesian approach. Graphical techniques for selecting an appropriate copula are also discussed. The unique ability of copulas to model nonlinear dependence rationalizes the use of copula functions as an alternative technique.</abstract><cop>Norcross</cop><pub>Taylor & Francis</pub><doi>10.1080/0013791X.2014.962719</doi><tpages>20</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0013-791X |
| ispartof | The Engineering economist, 2015-04, Vol.60 (2), p.89-108 |
| issn | 0013-791X 1547-2701 |
| language | eng |
| recordid | cdi_proquest_journals_1679729412 |
| source | Business Source Complete |
| subjects | Bayesian analysis Capital budgeting Conjugates Decision making Financing Investment Mathematical analysis Mathematical functions Mathematical models Nonlinearity Probability distribution Studies |
| title | Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-13T15%3A36%3A38IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_infor&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Using%20Copula%20Functions%20in%20Bayesian%20Analysis:%20A%20Comparison%20of%20the%20Lognormal%20Conjugate&rft.jtitle=The%20Engineering%20economist&rft.au=Herath,%20Hemantha%20S.%20B.&rft.date=2015-04-03&rft.volume=60&rft.issue=2&rft.spage=89&rft.epage=108&rft.pages=89-108&rft.issn=0013-791X&rft.eissn=1547-2701&rft.coden=ENECAR&rft_id=info:doi/10.1080/0013791X.2014.962719&rft_dat=%3Cproquest_infor%3E1709724311%3C/proquest_infor%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1679729412&rft_id=info:pmid/&rfr_iscdi=true |