Displaying similar documents to “Symmetries of random discrete copulas”

Statistical aspects of associativity for copulas

José M. González-Barrios (2010)

Kybernetika

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In this paper we study in detail the associativity property of the discrete copulas. We observe the connection between discrete copulas and the empirical copulas, and then we propose a statistic that indicates when an empirical copula is associative and obtain its main statistical properties under independence. We also obtained asymptotic results of the proposed statistic. Finally, we study the associativity statistic under different copulas and we include some final remarks about associativity...

A copula test space model how to avoid the wrong copula choice

Frederik Michiels, Ann De Schepper (2008)

Kybernetika

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We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP...