Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/52468
Title: Why clayton and gumbel copulas: A symmetry-based explanation
Authors: Vladik Kreinovich
Hung T. Nguyen
Songsak Sriboonchitta
Keywords: Computer Science
Engineering
Issue Date: 1-Jan-2013
Abstract: In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In many econometric applications, two families of copulas have been most efficient: the Clayton and the Gumbel copulas. In this paper, we provide a theoretical explanation for this empirical efficiency, by showing that these copulas naturally follow from reasonable symmetry assumptions. This symmetry justification also allows us to provide recommendations about which families of copulas we should use when we need a more accurate description of dependence. © 2013 Springer-Verlag Berlin Heidelberg.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872827540&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/52468
ISSN: 21945357
Appears in Collections:CMUL: Journal Articles

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