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On factor copula-based mixed regression models

Thursday, July 20, 2023 - 11:00 to 12:00
Pavel Krupskiy, Lecturer, School of Mathematics and Statistics, University of Melbourne
Statistics Seminar
ESB 4192 / Zoom

To Join via Zoom: To join this seminar virtually, please request Zoom connection details from headsec [at]

Abstract: A copula-based method for mixed regression models is introduced, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and the effect of a common latent variable pertaining to a cluster is modelled with a factor copula. We show how to estimate the parameters of the copula and the parameters of the margins, and we find the asymptotic behaviour of the estimation errors. Numerical experiments are performed to assess the precision of the estimators for finite samples. An example of an application is given using COVID-19 vaccination hesitancy from several countries. Computations are based on R package CopulaGAMM.