Parametric Inference of Elliptical and Archimedean Family of Copulas

Authors: Alam Ali, Ashok Kumar Pathak

Abstract:

Nowadays, copulas have attracted significant attention for modeling multivariate observations, and the foremost feature of copula functions is that they give us the liberty to study the univariate marginal distributions and their joint behavior separately. The copula parameter apprehends the intrinsic dependence among the marginal variables, and it can be estimated using parametric, semiparametric, or nonparametric techniques. This work aims to compare the coverage rates between an Elliptical and an Archimedean family of copulas via a fully parametric estimation technique.

Keywords: elliptical copula, archimedean copula, estimation, coverage rate