A flexible, tractable class of copulas and its estimation

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 : In this communication, we present a flexible and tractable class of copulas, and address its estimation through a weighted least squares estimator based on dependence coefficients
Mots-clés : estimation tractable flexible copula
Type de document :
Communication dans un congrès
COMPSTAT 2014 - 21st International Conference on Computational Statistics, Aug 2014, Geneva, Switzerland
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https://hal.archives-ouvertes.fr/hal-01062481
Contributeur : Gildas Mazo <>
Soumis le : mardi 9 septembre 2014 - 19:26:34
Dernière modification le : mercredi 11 avril 2018 - 01:58:45

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  • HAL Id : hal-01062481, version 1

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Gildas Mazo, Stephane Girard, Florence Forbes. A flexible, tractable class of copulas and its estimation. COMPSTAT 2014 - 21st International Conference on Computational Statistics, Aug 2014, Geneva, Switzerland. 〈hal-01062481〉

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