Modeling dependence

W.C.M. Kallenberg

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    Abstract

    A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a given parametric family of copulas or applying the other extreme of modeling dependence in a nonparametric way, an intermediate approach is proposed, based on a sequence of parametric models containing more and more dependency aspects. In contrast to a similar way of thinking in testing theory, the method here, intended for estimating the copula, often requires a somewhat larger number of steps. One approach is based on exponential families, another on contamination families. An extensive numerical investigation is supplied on a large number of well known copulas. The method based on contamination families is recommended. A Gaussian start in this approximation looks very promising.
    Original languageUndefined
    Place of PublicationEnschede
    PublisherToegepaste Wiskunde
    Number of pages28
    Publication statusPublished - Aug 2006

    Publication series

    NameApplied Mathematics Memoranda
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1809
    ISSN (Print)0169-2690

    Keywords

    • EWI-6117
    • MSC-62H12
    • IR-66193
    • METIS-238081
    • MSC-62P05
    • MSC-62H20

    Cite this

    Kallenberg, W. C. M. (2006). Modeling dependence. (Applied Mathematics Memoranda; No. 1809). Enschede: Toegepaste Wiskunde.