Inference for copula modeling of discrete data: a cautionary tale and some facts

Faugeras Olivier P. ()
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Faugeras Olivier P.: Toulouse School of Economics - Université Toulouse Capitole, Manufacture des Tabacs, Bureau MF319, 21 Allée de Brienne, 31000 Toulouse, France

Dependence Modeling, 2017, vol. 5, issue 1, 121-132

Abstract: In this note, we elucidate some of the mathematical, statistical and epistemological issues involved in using copulas to model discrete data. We contrast the possible use of (nonparametric) copula methods versus the problematic use of parametric copula models. For the latter, we stress, among other issues, the possibility of obtaining impossible models, arising from model misspecification or unidentifiability of the copula parameter.

Keywords: copula; discrete data; parametric model; statistical inference; unidentifiability (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:121-132:n:8

DOI: 10.1515/demo-2017-0008

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