Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/9854
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dc.contributor.authorMendes, Beatriz Vaz de Melo-
dc.contributor.authorMelo, Eduardo Fraga Lima de-
dc.contributor.authorNelsen, Roger-
dc.date.accessioned2019-09-30T18:38:55Z-
dc.date.available2019-10-02T03:00:16Z-
dc.date.issued2005-
dc.identifier.citationMENDES, 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).pt_BR
dc.identifier.isbn857508058Xpt_BR
dc.identifier.issn1518-3335pt_BR
dc.identifier.urihttp://hdl.handle.net/11422/9854-
dc.description.abstractIn 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.en
dc.languageengpt_BR
dc.publisherUniversidade Federal do Rio de Janeiropt_BR
dc.relation.ispartofRelatórios COPPEADpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectFinançaspt_BR
dc.subjectModelos matemáticospt_BR
dc.subjectWorking paperpt_BR
dc.titleRobust fits for copula modelsen
dc.typeRelatóriopt_BR
dc.description.resumoIndisponível.pt_BR
dc.publisher.countryBrasilpt_BR
dc.publisher.departmentInstituto COPPEAD de Administraçãopt_BR
dc.publisher.initialsUFRJpt_BR
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOpt_BR
dc.citation.issue374pt_BR
dc.embargo.termsabertopt_BR
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