IDEAS home Printed from https://ideas.repec.org/a/spr/stmapp/v26y2017i3d10.1007_s10260-016-0375-6.html
   My bibliography  Save this article

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

Author

Listed:
  • Elisa Perrone

    () (IST Austria)

  • Andreas Rappold

    () (Johannes Kepler University of Linz)

  • Werner G. Müller

    () (Johannes Kepler University of Linz)

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.

Suggested Citation

  • Elisa Perrone & Andreas Rappold & Werner G. Müller, 2017. "$$D_s$$ D s -optimality in copula models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 403-418, August.
    • Handle: RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6
    DOI: 10.1007/s10260-016-0375-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10260-016-0375-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. J. López‐Fidalgo & C. Tommasi & P. C. Trandafir, 2007. "An optimal experimental design criterion for discriminating between non‐normal models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(2), pages 231-242, April.
    2. Denman, N.G. & McGree, J.M. & Eccleston, J.A. & Duffull, S.B., 2011. "Design of experiments for bivariate binary responses modelled by Copula functions," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1509-1520, April.
    3. Sungwook Kim & Nancy Flournoy, 2015. "Optimal experimental design for systems with bivariate failures under a bivariate Weibull function," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 64(3), pages 413-432, April.
    4. Daniel Berg, 2009. "Copula goodness-of-fit testing: an overview and power comparison," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 675-701.
    5. Dariusz Uciński & Barbara Bogacka, 2005. "T‐optimum designs for discrimination between two multiresponse dynamic models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(1), pages 3-18, February.
    6. Roger Nelsen, 2007. "Extremes of nonexchangeability," Statistical Papers, Springer, vol. 48(4), pages 695-695, October.
    7. MICHIELS, Frederik & DE SCHEPPER, Ann, 2010. "A new graphical tool for copula selection," Working Papers 2010004, University of Antwerp, Faculty of Business and Economics.
    8. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Rejoinder on: Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 290-292, August.
    9. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
    10. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    11. Fabrizio Durante, 2009. "Construction of non-exchangeable bivariate distribution functions," Statistical Papers, Springer, vol. 50(2), pages 383-391, March.
    12. Steffen Grønneberg & Nils Lid Hjort, 2014. "The Copula Information Criteria," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 436-459, June.
    13. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
    14. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 223-256, August.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Springer Nature Abstracting and Indexing). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.