A flexible and tractable class of one-factor copulas - Archive ouverte HAL Access content directly
Journal Articles Statistics and Computing Year : 2016

A flexible and tractable class of one-factor copulas

Abstract

Copulas are a useful tool to model multivariate distributions. While there exist various families of bivariate copulas, the construction of flexible and yet tractable copulas suitable for high-dimensional applications is much more challenging. This is even more true if one is concerned with the analysis of extreme values. In this paper, we construct a class of one-factor copulas and a family of extreme-value copulas well suited for high-dimensional applications and exhibiting a good balance between tractability and flexibility. The inference for these copulas is performed by using a least-squares estimator based on dependence coefficients. The modeling capabilities of the copulas are illustrated on simulated and real datasets.
Fichier principal
Vignette du fichier
paper-revised-4.pdf (2.87 Mo) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00979147 , version 1 (15-04-2014)
hal-00979147 , version 2 (20-08-2014)
hal-00979147 , version 3 (26-05-2015)

Identifiers

Cite

Gildas Mazo, Stéphane Girard, Florence Forbes. A flexible and tractable class of one-factor copulas. Statistics and Computing, 2016, 26 (5), pp.965-979. ⟨10.1007/s11222-015-9580-7⟩. ⟨hal-00979147v3⟩
640 View
743 Download

Altmetric

Share

Gmail Facebook X LinkedIn More