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Conference papers

A flexible, tractable class of copulas and its estimation

Gildas Mazo 1 Stéphane Girard 1 Florence Forbes 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
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
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Conference papers
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https://hal.archives-ouvertes.fr/hal-01062481
Contributor : Gildas Mazo Connect in order to contact the contributor
Submitted on : Tuesday, September 9, 2014 - 7:26:34 PM
Last modification on : Tuesday, October 19, 2021 - 11:13:08 PM

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  • HAL Id : hal-01062481, version 1

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CNRS | INRIA | LJK_PS | LJK_PS_MISTIS | LJK | UGA | INRIA2

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Gildas Mazo, Stéphane 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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