Bayesian Inference for Joint Tail Risk in Paired Biomarkers via Archimedean Copulas with Restricted Jeffreys Priors

TL;DR

This paper introduces a Bayesian copula-based method to quantify joint tail risks in paired biomarkers, providing uncertainty estimates and applying it to health data to reveal significant extremal co-movement.

Contribution

It develops a novel Bayesian framework using Archimedean copulas and restricted Jeffreys priors for joint tail risk estimation in biomedical biomarkers, with proven coverage properties.

Findings

Posterior credible intervals achieve near-nominal coverage in simulations.

Application to NHANES data shows significantly elevated extremal co-movement.

Gumbel model estimates joint upper-tail risk at about 11.46 times the independence benchmark.

Abstract

We propose a Bayesian copula-based framework to quantify clinically interpretable joint tail risks from paired continuous biomarkers. After converting each biomarker margin to rank-based pseudo-observations, we model dependence using one-parameter Archimedean copulas and focus on three probability-scale summaries at tail level $\alpha$: the lower-tail joint risk $R_L(\theta)=C_\theta(\alpha,\alpha)$, the upper-tail joint risk $R_U(\theta)=2\alpha-1+C_\theta(1-\alpha,1-\alpha)$, and the conditional lower-tail risk $R_C(\theta)=R_L(\theta)/\alpha$. Uncertainty is quantified via a restricted Jeffreys prior on the copula parameter and grid-based posterior approximation, which induces an exact posterior for each tail-risk functional. In simulations from Clayton and Gumbel copulas across multiple dependence strengths, posterior credible intervals achieve near-nominal coverage for $R_L$, $R_U$, and $R_C$. We then analyze NHANES 2017--2018 fasting glucose (GLU) and HbA1c (GHB) ($n=2887$) at $\alpha=0.05$, obtaining tight posterior credible intervals for both the dependence parameter and induced tail risks. The results reveal markedly elevated extremal co-movement relative to independence; under the Gumbel model, the posterior mean joint upper-tail risk is $R_U(\alpha)=0.0286$, approximately $11.46\times$ the independence benchmark $\alpha^2=0.0025$. Overall, the proposed approach provides a principled, dependence-aware method for reporting joint and conditional extremal-risk summaries with Bayesian uncertainty quantification in biomedical applications.