Inference on copula-based correlation structures

Foscolo, Enrico (2011) Inference on copula-based correlation structures, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Metodologia statistica per la ricerca scientifica, 23 Ciclo. DOI 10.6092/unibo/amsdottorato/3373.
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Abstract

We propose an extension of the approach provided by Kluppelberg and Kuhn (2009) for inference on second-order structure moments. As in Kluppelberg and Kuhn (2009) we adopt a copula-based approach instead of assuming normal distribution for the variables, thus relaxing the equality in distribution assumption. A new copula-based estimator for structure moments is investigated. The methodology provided by Kluppelberg and Kuhn (2009) is also extended considering the copulas associated with the family of Eyraud-Farlie-Gumbel-Morgenstern distribution functions (Kotz, Balakrishnan, and Johnson, 2000, Equation 44.73). Finally, a comprehensive simulation study and an application to real financial data are performed in order to compare the different approaches.

Abstract
Tipologia del documento
Tesi di dottorato
Autore
Foscolo, Enrico
Supervisore
Co-supervisore
Dottorato di ricerca
Scuola di dottorato
Scienze economiche e statistiche
Ciclo
23
Coordinatore
Settore disciplinare
Settore concorsuale
Parole chiave
Moment structure model Copula Inference
URN:NBN
DOI
10.6092/unibo/amsdottorato/3373
Data di discussione
18 Marzo 2011
URI

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