Моделирование Многомерных Распределений С Использованием Копула-Функций. Часть III (Analysis of Multidimensional Probability Distributions with Copula Functions: Part III)

Applied Econometrics, Vol. 24, No. 4, pp. 100-130, 2011

Posted: 11 Mar 2012

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Date Written: March 9, 2012

Abstract

Заключительная часть консультации посвящена описанию подходов к эмпирическому подбору подходящей копула-функции и методов статистической проверки гипотез, связанных с моделями копула-функций.

The final part of the consultation series on copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness-of-fit tests.

Keywords: copula, copula selection, test statistic, information criteria, Bayesian copula selection, copula evaluation, goodness-of-fit test, empirical analysis

JEL Classification: C49, C69

Suggested Citation

Fantazzini, Dean, Моделирование Многомерных Распределений С Использованием Копула-Функций. Часть III (Analysis of Multidimensional Probability Distributions with Copula Functions: Part III) (March 9, 2012). Applied Econometrics, Vol. 24, No. 4, pp. 100-130, 2011 . Available at SSRN: https://ssrn.com/abstract=2018960

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

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