Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types
We introduce and discuss a new parametric copula builder which is named the “? construction method”. The methodology is explained and illustrated using 3 types of ? functions. It shows that the ? method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the ? method facilitates the representation of a copula family as a collection of comparable test spaces as defined in Michiels and De Schepper (2008). As such, the modeling capacity of these families is discussed in a clear way.
|Date of creation:||Dec 2008|
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