Recognizing and visualizing copulas: an approach using local Gaussian approximation

DOI10.1016/J.INSMATHECO.2014.04.005MaRDI QIDQ2513445zbMATH OpenOpenAlexFDO

Authors Geir Drage Berentsen, Bård Støve, Dag Tjøstheim, Tommy Nordbø

Publication date 28 January 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/166842

zbMATH Keywords

copulasdiagnostic plotsGaussian pseudo-observationsgoodness-of-fitlocal Gaussian correlation

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An introduction to copulas.
• Bootstrap based goodness-of-fit-tests
• Comparing nonparametric versus parametric regression fits
• Conditional density estimation using the local Gaussian correlation
• Efficient Estimation of Semiparametric Multivariate Copula Models
• Goodness-of-fit tests for copulas: A review and a power study
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Local Gaussian correlation: a new measure of dependence
• Locally parametric nonparametric density estimation
• Modelling Nonlinear Economic Time Series
• Pair-copula constructions of multiple dependence
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• Remarks on a Multivariate Transformation
• Semiparametric estimation in copula models
• Specification testing in nonlinear and nonstationary time series autoregression
• The t Copula and Related Copulas
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(15)

• The locally Gaussian density estimator for multivariate data
• Statistical analysis of multivariate discrete-valued time series
• Statistical dependence: beyond Pearson's
• Model selection of copulas: AIC versus a cross validation copula information criterion
• Pairwise local Fisher and naive Bayes: improving two standard discriminants
• Modified Gaussian pseudo-copula: applications in insurance and finance
• Detection of heterogeneous structures on the Gaussian copula model using projective power entropy
• Local Gaussian Autocorrelation and Tests for Serial Independence
• Some properties of local Gaussian correlation and other nonlinear dependence measures
• Local Gaussian correlation: a new measure of dependence
• A diagnostic test for specification of copulas under censorship
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation

Describes a project that uses

Uses Software

• localgauss

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