Recognizing and visualizing copulas: an approach using local Gaussian approximation

DOI10.1016/j.insmatheco.2014.04.005zbMath1304.62085OpenAlexW2072519732MaRDI QIDQ2513445

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

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

copulasgoodness-of-fitdiagnostic plotslocal Gaussian correlationGaussian pseudo-observations

Mathematics Subject Classification ID

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

Related Items (10)

Nonlinear Spectral Analysis: A Local Gaussian Approach ⋮ Local Gaussian Autocorrelation and Tests for Serial Independence ⋮ Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures ⋮ The locally Gaussian density estimator for multivariate data ⋮ Model selection of copulas: AIC versus a cross validation copula information criterion ⋮ Local Gaussian correlation: a new measure of dependence ⋮ Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation ⋮ Pairwise local Fisher and naive Bayes: improving two standard discriminants ⋮ Statistical analysis of multivariate discrete-valued time series ⋮ Statistical dependence: beyond Pearson's \(\rho\)

Uses Software

• localgauss

Cites Work

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