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Title:Fitting high-dimensional copulae to data PDF Logo
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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