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Everything You Always Wanted to Know About Copula Modeling But Were Afraid to Ask
Year Of Publication: 2006
Month Of Publication: March
Pages: 46
Download Count: 490
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-15-2007
Publisher: Administrator
Summary
This paper presents an introduction to inference for copula models,based on rank methods. By working out in detail a small, ¯ctitious nu-merical example, the authors exhibit the various steps involved in inves-tigating the dependence between two random variables and in modelingit using copulas. Simple graphical tools and numerical techniques arepresented for selecting an appropriate model, for estimating its parame-ters and checking its goodness-of-¯t. A larger, realistic application of themethodology to hydrological data is then presente
Author(s)
Genest, C_hristian Sign in to follow this author
Favre, Anne-Catherine Sign in to follow this author
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