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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/39301
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| Title: | | Fitting high-dimensional copulae to data  |
| Authors: | | Okhrin, Ostap |
| Issue Date: | | 2010 |
| Series/Report no.: | | SFB 649 discussion paper 2010,022 |
| Abstract: | | This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests under different assumptions. Novating in this paper is that all the procedures are done in dimensions higher than two, and in comparison to other papers we consider not only simple Archimedean and Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. |
| Subjects: | | copula multivariate distribution Archimedean copula GoF |
| JEL: | | C13 C14 C50 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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