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dc.contributor.authorOkhrin, Ostapen_US
dc.date.accessioned2010-04-16en_US
dc.date.accessioned2010-08-26T11:56:55Z-
dc.date.available2010-08-26T11:56:55Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39301-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2010,022en_US
dc.subject.jelC13en_US
dc.subject.jelC14en_US
dc.subject.jelC50en_US
dc.subject.ddc330en_US
dc.subject.keywordcopulaen_US
dc.subject.keywordmultivariate distributionen_US
dc.subject.keywordArchimedean copulaen_US
dc.subject.keywordGoFen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwTheorieen_US
dc.titleFitting high-dimensional copulae to dataen_US
dc.typeWorking Paperen_US
dc.identifier.ppn623857928en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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