The empirical beta copula

Johan Segers, Masaaki Sibuya and Hideatsu Tsukahara

Journal of Multivariate Analysis, 2017, vol. 155, issue C, 35-51

Abstract: Given a sample from a continuous multivariate distribution F, the uniform random variates generated independently and rearranged in the order specified by the componentwise ranks of the original sample look like a sample from the copula of F. This idea can be regarded as a variant on Baker’s [J. Multivariate Anal. 99 (2008) 2312–2327] copula construction and leads to the definition of the empirical beta copula. The latter turns out to be a particular case of the empirical Bernstein copula, the degrees of all Bernstein polynomials being equal to the sample size.

Keywords: Copula; Empirical copula; Bernstein polynomial; Empirical Bernstein copula; Checkerboard copula (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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DOI: 10.1016/j.jmva.2016.11.010

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