Modeling Multivariate Distributions with Continuous Margins Using the copula R Package

Ivan Kojadinovic and Jun Yan

Journal of Statistical Software, 2010, vol. 034, issue i09

Abstract: The copula-based modeling of multivariate distributions with continuous margins is presented as a succession of rank-based tests: a multivariate test of randomness followed by a test of mutual independence and a series of goodness-of-fit tests. All the tests under consideration are based on the empirical copula, which is a nonparametric rank-based estimator of the true unknown copula. The principles of the tests are recalled and their implementation in the copula R package is briefly described. Their use in the construction of a copula model from data is thoroughly illustrated on real insurance and financial data.

Date: 2010-05-14
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:034:i09

DOI: 10.18637/jss.v034.i09

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