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    Linear factor copula models and their properties

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    Type
    Article
    Authors
    Krupskii, Pavel cc
    Genton, Marc G. cc
    KAUST Department
    Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
    Statistics Program
    Date
    2018-04-25
    Permanent link to this record
    http://hdl.handle.net/10754/627853
    
    Metadata
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    Abstract
    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
    Wiley
    Journal
    Scandinavian Journal of Statistics
    DOI
    10.1111/sjos.12325
    Additional Links
    https://onlinelibrary.wiley.com/doi/abs/10.1111/sjos.12325
    ae974a485f413a2113503eed53cd6c53
    10.1111/sjos.12325
    Scopus Count
    Collections
    Articles; Statistics Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

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