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https://hdl.handle.net/10419/39301
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Okhrin, Ostap | en |
dc.date.accessioned | 2010-04-16 | - |
dc.date.accessioned | 2010-08-26T11:56:55Z | - |
dc.date.available | 2010-08-26T11:56:55Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/39301 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2010,022 | en |
dc.subject.jel | C13 | en |
dc.subject.jel | C14 | en |
dc.subject.jel | C50 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | copula | en |
dc.subject.keyword | multivariate distribution | en |
dc.subject.keyword | Archimedean copula | en |
dc.subject.keyword | GoF | en |
dc.subject.stw | Kopula (Mathematik) | en |
dc.subject.stw | Multivariate Analyse | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | Theorie | en |
dc.title | Fitting high-dimensional copulae to data | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 623857928 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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