Implicit Copulas: An Overview
Michael Stanley Smith
Econometrics and Statistics, 2023, vol. 28, issue C, 81-104
Abstract:
Implicit copulas are the most common copula choice for modeling dependence in high dimensions. This broad class of copulas is introduced and surveyed, including elliptical copulas, skew t copulas, factor copulas, time series copulas and regression copulas. The common auxiliary representation of implicit copulas is outlined, and how this makes them both scalable and tractable for statistical modeling. Issues such as parameter identification, extended likelihoods for discrete or mixed data, parsimony in high dimensions, and simulation from the copula model are considered. Bayesian approaches to estimate the copula parameters, and predict from an implicit copula model, are outlined. Particular attention is given to implicit copula processes constructed from time series and regression models, which is at the forefront of current research. Two econometric applications—one from macroeconomic time series and the other from financial asset pricing—illustrate the advantages of implicit copula models.
Keywords: copula process; factor copula; inversion copula; regression copula; skew t copula; time series copula (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104
DOI: 10.1016/j.ecosta.2021.12.002
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