Economics at your fingertips  

$$D_s$$ D s -optimality in copula models

Elisa Perrone (), Andreas Rappold () and Werner Müller ()
Additional contact information
Elisa Perrone: IST Austria
Andreas Rappold: Johannes Kepler University of Linz

Statistical Methods & Applications, 2017, vol. 26, issue 3, 403-418

Abstract: Abstract Optimum experimental design theory has recently been extended for parameter estimation in copula models. The use of these models allows one to gain in flexibility by considering the model parameter set split into marginal and dependence parameters. However, this separation also leads to the natural issue of estimating only a subset of all model parameters. In this work, we treat this problem with the application of the $$D_s$$ D s -optimality to copula models. First, we provide an extension of the corresponding equivalence theory. Then, we analyze a wide range of flexible copula models to highlight the usefulness of $$D_s$$ D s -optimality in many possible scenarios. Finally, we discuss how the usage of the introduced design criterion also relates to the more general issue of copula selection and optimal design for model discrimination.

Keywords: $$D_s$$ D s -optimality; Copula selection; Design discrimination; Stochastic dependence (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) 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:

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10260/PS2

Access Statistics for this article

Statistical Methods & Applications is currently edited by Tommaso Proietti

More articles in Statistical Methods & Applications from Springer, Società Italiana di Statistica
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-05-21
Handle: RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6