STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY

Paul Embrechts and Marius Hofert

ASTIN Bulletin, 2013, vol. 43, issue 2, 81-95

Abstract: Statistical inference for copulas has been addressed in various research papers. Due to the complicated theoretical results, studies have been carried out mainly in the bivariate case, be it properties of estimators or goodness-of-fit tests. However, from a practical point of view, higher dimensions are of interest. This work presents the results of large-scale simulation studies with particular focus on the question to what extent dimensionality influences point and interval estimators.

Date: 2013
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