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Abstract Details
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Activity Number:
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502
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #302609 |
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Title:
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Flexible Copula Models as Effective Multivariate Density Estimators
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Author(s):
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Robert Jacob Kohn*+
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Companies:
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University of New South Wales
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Address:
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Australian School of Business, School of Economics, Sydney, International, 2052, Australia
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Keywords:
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shrinkage ;
mixtures
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Abstract:
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Standard copula models such as the Gaussian and t copulas have proven very effective as multivariate density estimators. This paper Adds flexibility to these in a number of ways. First we consider covariance shrinkage to allow for the efficient estimation of high dimensional models. Second, we consider mixtures of copula models to more effectively capture multimodality and heavy tails. The methodology is illustrated with a number of simulated and real example.
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Authors who are presenting talks have a * after their name.
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