Copula structure analysis

Claudia Klüppelberg and Gabriel Kuhn

Journal of the Royal Statistical Society Series B, 2009, vol. 71, issue 3, 737-753

Abstract: Summary. We extend the standard approach of correlation structure analysis for dimension reduction of high dimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulas a correlation‐like structure remains, but different margins and non‐existence of moments are possible. After introducing the new concept and deriving some theoretical results we observe in a simulation study the performance of the estimators: the theoretical asymptotic behaviour of the statistics can be observed even for small sample sizes. Finally, we show our method at work for a financial data set and explain differences between our copula‐based approach and the classical approach. Our new method yielear models also.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9868.2009.00707.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:71:y:2009:i:3:p:737-753

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9868

Access Statistics for this article

Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom

More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().