Analysis of multidimensional probability distributions with copula functions. III

The final part of the consultation series on copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness-of-fit tests.

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Year of publication:	2011
Authors:	Fantazzini, Dean
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 24.2011, 4, p. 100-130
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	copula \| copula selection \| test statistic \| information criteria \| Bayesian copula selection \| copula evaluation \| goodness-of-fit test \| empirical analysis

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Extent:	application/pdf
Type of publication:	Article
Classification:	C49 - Econometric and Statistical Methods: Special Topics. Other ; C69 - Mathematical Methods and Programming. Other
Source:	RePEc - Research Papers in Economics

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