Trivariate Burr-III copula with applications to income data

Lucio De Capitani (), Federica Nicolussi () and Alessandro Zini ()
Additional contact information
Lucio De Capitani: Università degli Studi di Milano-Bicocca
Federica Nicolussi: Università Cattolica del Sacro Cuore
Alessandro Zini: Università degli Studi di Milano-Bicocca

METRON, 2017, vol. 75, issue 1, No 7, 109-124

Abstract: Abstract In this work, Bivariate Burr-III copula is extended to the trivariate case. This copula seems to be very general and analytically manageable and it provides an alternative to the commonly employed elliptical copulas (such as the Gaussian or the Stutent’s t ones) since they have, roughly, the same number of parameters. Several applications to income and wine data are described in the paper. They show that the Trivariate Burr-III copula is, in general, able to capture the dependence structure implicit in observed trivariate data. Moreover, they show that the third-order interaction parameter results, in some cases, significant at $$1\%$$ 1 % significance level while, in other cases, it can be removed from the fitted model. The ability of the Trivariate Burr-III copula in representing the dependence structure implicit in the considered data is compared with the ones of other well known copulas: the Clayton copula, the t copula, and the Skew-t copula. It results that the Trivariate Burr-III copula provides a good fitting and turns out to be the best performer in fitting the considered wine data but, on income data, the best performers are the t and Skew-t copulas. The over-performance of the last two copulas on income data is probably due to their ability in representing right-tail dependence (a kind of dependence that is not taken into account by the Trivariate Burr-III copula).

Keywords: Income distribution; Trivariate Burr-III; Multivariate Copula (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40300-016-0104-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:metron:v:75:y:2017:i:1:d:10.1007_s40300-016-0104-9

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40300

DOI: 10.1007/s40300-016-0104-9

Access Statistics for this article

METRON is currently edited by Marco Alfo'

More articles in METRON from Springer, Sapienza Università di Roma
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().