Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/9854
Type: Relatório
Title: Robust fits for copula models
Author(s)/Inventor(s): Mendes, Beatriz Vaz de Melo
Melo, Eduardo Fraga Lima de
Nelsen, Roger
Abstract: Indisponível.
Abstract: In this paper we propose and compare two different methodologies for fitting copulas robustly. The first proposal consists of a robustification of the maximum likelihood method, where points previously identified as outliers by a high breakdown point covariance matrix estimator are downweighted in a maximum likelihood optimization procedure. The second proposal obtains robust estimates by minimizing selected empirical copula based goodness of fit statistics. We show through simulations that the proposed robust estimators are able to capture the correct strength of dependence of the data, providing more accurate estimates of copula based dependence measures such as the tail dependence coefficient. The experiments considered several ε- contaminated copula models, for varying proportions ε of contaminating points. Another result in this paper is the finite sample distribution of some selected empirical copula based statistics and corresponding tables for testing and selecting the best copula fit.
Keywords: Finanças
Modelos matemáticos
Working paper
Subject CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 374
Issue Date: 2005
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISBN: 857508058X
ISSN: 1518-3335
Citation: MENDES, Beatriz Vaz de Melo; MELO, Eduardo Fraga Lima de; NELSEN, Roger. Robust fits for copula models. Rio de Janeiro: UFRJ, 2005. 41 p. (Relatórios COPPEAD, 374).
Appears in Collections:Relatórios

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