Authors: | Ivan Kojadinovic, Jun Yan | ||||
Title: | Modeling Multivariate Distributions with Continuous Margins Using the copula R Package | ||||
Abstract: | The copula-based modeling of multivariate distributions with continuous margins is presented as a succession of rank-based tests: a multivariate test of randomness followed by a test of mutual independence and a series of goodness-of-fit tests. All the tests under consideration are based on the empirical copula, which is a nonparametric rank-based estimator of the true unknown copula. The principles of the tests are recalled and their implementation in the copula R package is briefly described. Their use in the construction of a copula model from data is thoroughly illustrated on real insurance and financial data. | ||||
Page views:: 16854. Submitted: 2009-07-07. Published: 2010-05-14. |
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Paper: |
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package
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DOI: |
10.18637/jss.v034.i09
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