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2010-04-15Buch DOI: 10.18452/4250
Fitting high-dimensional Copulae to Data
dc.contributor.authorOkhrin, Ostap
dc.date.accessioned2017-06-16T00:07:37Z
dc.date.available2017-06-16T00:07:37Z
dc.date.created2010-05-27
dc.date.issued2010-04-15
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4902
dc.description.abstractThis 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.ger
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcopulaeng
dc.subjectmultivariate distributioneng
dc.subjectArchimedean copulaeng
dc.subjectGoFeng
dc.subject.ddc330 Wirtschaft
dc.titleFitting high-dimensional Copulae to Data
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100111352
dc.identifier.doihttp://dx.doi.org/10.18452/4250
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue22
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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