Posts Tagged ‘ copulas ’

Fractals and Kronecker product

October 17, 2012
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Fractals and Kronecker product

A few years ago, I went to listen to Roger Nelsen who was giving a talk about copulas with fractal support. Roger is amazing when he gives a talk (I am also a huge fan of his books, and articles), and I really wanted to play with that concept ...

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(nonparametric) Copula density estimation

September 20, 2012
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(nonparametric) Copula density estimation

Today, we will go further on the inference of copula functions. Some codes (and references) can be found on a previous post, on nonparametric estimators of copula densities (among other related things).  Consider (as before) the loss-ALAE data...

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Copulas and tail dependence, part 3

September 18, 2012
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Copulas and tail dependence, part 3

We have seen extreme value copulas in the section where we did consider general families of copulas. In the bivariate case, an extreme value can be writtenwhere is Pickands dependence function, which is a convex function satisfyingObserve that in ...

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Copulas and tail dependence, part 1

September 17, 2012
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Copulas and tail dependence, part 1

As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago). Joe (1990)'s lambdaJoe (1990) suggested a (strong) tail dependence index. For lower t...

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Kendall’s function for copulas

September 12, 2012
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Kendall’s function for copulas

As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution  , define random variable . Then Kendall's cumulative function isGenest and Rivest (1993) intr...

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PhD defense on copulas

November 15, 2011
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(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers) To leave a comment for the author, please follow the link and comment on his blog: Freakonometrics - Tag - R-english. R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave,...

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