- Inference on copula-based correlation structures
- Foscolo, Enrico <1983>
Subject
- SECS-S/01 Statistica
Description
- 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.
Date
- 2011-03-18
Type
- Doctoral Thesis
- PeerReviewed
Format
- application/pdf
Identifier
urn:nbn:it:unibo-2418
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