Type
ArticleAuthors
Krupskii, Pavel
Genton, Marc G.

KAUST Department
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) DivisionStatistics Program
Date
2018-04-25Permanent link to this record
http://hdl.handle.net/10754/627853
Metadata
Show full item recordAbstract
We consider a special case of factor copula models with additive common factors and independent components. These models are flexible and parsimonious with O(d) parameters where d is the dimension. The linear structure allows one to obtain closed form expressions for some copulas and their extreme-value limits. These copulas can be used to model data with strong tail dependencies, such as extreme data. We study the dependence properties of these linear factor copula models and derive the corresponding limiting extreme-value copulas with a factor structure. We show how parameter estimates can be obtained for these copulas and apply one of these copulas to analyse a financial data set.Citation
Krupskii P, Genton MG (2018) Linear factor copula models and their properties. Scandinavian Journal of Statistics. Available: http://dx.doi.org/10.1111/sjos.12325.Sponsors
This research was supported by the King Abdullah University of Science and Technology (KAUST). We would like to thank the anonymous referee, associate editor, and editor-in-chief for their comments that helped improve this paper.Publisher
WileyAdditional Links
https://onlinelibrary.wiley.com/doi/abs/10.1111/sjos.12325ae974a485f413a2113503eed53cd6c53
10.1111/sjos.12325