Why clayton and gumbel copulas: A symmetry-based explanation
In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In m...
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th-cmuir.6653943832-483262018-04-25T08:50:35Z Why clayton and gumbel copulas: A symmetry-based explanation Vladik Kreinovich Hung T. Nguyen Songsak Sriboonchitta In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In many econometric applications, two families of copulas have been most efficient: the Clayton and the Gumbel copulas. In this paper, we provide a theoretical explanation for this empirical efficiency, by showing that these copulas naturally follow from reasonable symmetry assumptions. This symmetry justification also allows us to provide recommendations about which families of copulas we should use when we need a more accurate description of dependence. © 2013 Springer-Verlag Berlin Heidelberg. 2018-04-25T08:50:35Z 2018-04-25T08:50:35Z 2013-01-01 Book Series 21945357 2-s2.0-84872827540 10.1007/978-3-642-35443-4-6 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872827540&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/48326 |
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In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In many econometric applications, two families of copulas have been most efficient: the Clayton and the Gumbel copulas. In this paper, we provide a theoretical explanation for this empirical efficiency, by showing that these copulas naturally follow from reasonable symmetry assumptions. This symmetry justification also allows us to provide recommendations about which families of copulas we should use when we need a more accurate description of dependence. © 2013 Springer-Verlag Berlin Heidelberg. |
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Book Series |
| author |
Vladik Kreinovich Hung T. Nguyen Songsak Sriboonchitta |
| spellingShingle |
Vladik Kreinovich Hung T. Nguyen Songsak Sriboonchitta Why clayton and gumbel copulas: A symmetry-based explanation |
| author_facet |
Vladik Kreinovich Hung T. Nguyen Songsak Sriboonchitta |
| author_sort |
Vladik Kreinovich |
| title |
Why clayton and gumbel copulas: A symmetry-based explanation |
| title_short |
Why clayton and gumbel copulas: A symmetry-based explanation |
| title_full |
Why clayton and gumbel copulas: A symmetry-based explanation |
| title_fullStr |
Why clayton and gumbel copulas: A symmetry-based explanation |
| title_full_unstemmed |
Why clayton and gumbel copulas: A symmetry-based explanation |
| title_sort |
why clayton and gumbel copulas: a symmetry-based explanation |
| publishDate |
2018 |
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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872827540&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/48326 |
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