A flexible and tractable class of one-factor copulas

Gildas Mazo 1 Stephane Girard 1 Florence Forbes 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
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.
Type de document :
Article dans une revue
Statistics and Computing, Springer Verlag (Germany), 2016, 26 (5), pp.965-979. <10.1007/s11222-015-9580-7>
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-00979147
Contributeur : Gildas Mazo <>
Soumis le : mardi 26 mai 2015 - 14:50:05
Dernière modification le : jeudi 23 février 2017 - 21:23:04
Document(s) archivé(s) le : jeudi 20 avril 2017 - 06:13:28

Fichier

paper-revised-4.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Gildas Mazo, Stephane Girard, Florence Forbes. A flexible and tractable class of one-factor copulas. Statistics and Computing, Springer Verlag (Germany), 2016, 26 (5), pp.965-979. <10.1007/s11222-015-9580-7>. <hal-00979147v3>

Partager

Métriques

Consultations de
la notice

547

Téléchargements du document

141