Fitting high-dimensional copulae to data

Ostap Okhrin

No 2010-022, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: This 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.

Keywords: copula; multivariate distribution; Archimedean copula; GoF (search for similar items in EconPapers)
JEL-codes: C13 C14 C50 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2010-022

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