@book{7f0273d29faa4c83ab7c89d3b0207a14,
title = "Modeling dependence",
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.",
keywords = "EWI-6117, MSC-62H12, IR-66193, METIS-238081, MSC-62P05, MSC-62H20",
author = "W.C.M. Kallenberg",
note = "eemcs-eprint-6117 ",
year = "2006",
month = aug,
language = "Undefined",
series = "Applied Mathematics Memoranda",
publisher = "University of Twente",
number = "1809",
address = "Netherlands",
}