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Bayesian meta-elliptical multivariate regression models with fixed marginals on unit intervals

Author

Listed:
  • Josemar Rodrigues
  • Yury R. Benites
  • Vicente G. Cancho
  • N. Balakrishnan
  • Adriano K. Suzuki

Abstract

In this paper, we make use of meta-elliptical copula functions to build a new multivariate distribution with fixed marginal distributions and dependence structure to analyze bounded data. Specifically, we present a flexible p-elliptical multivariate probability distribution in the hypercube (0,1)p p with fixed marginal GF-quantile distributions. We then present some illustrative examples and a meta-elliptical multivariate regression model as a flexible alternative to the multivariate normal regression model on unit intervals. A simulation study and real-life data analysis using a Bayesian framework with the extreme-value quantile functions show the flexibility of the proposed meta-multivariate normal regression model for modeling the observed proportion response variables.

Suggested Citation

  • Josemar Rodrigues & Yury R. Benites & Vicente G. Cancho & N. Balakrishnan & Adriano K. Suzuki, 2023. "Bayesian meta-elliptical multivariate regression models with fixed marginals on unit intervals," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(3), pages 918-938, February.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:3:p:918-938
    DOI: 10.1080/03610926.2021.1933531
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