| Document Type
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BL
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| Record Number
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1023898
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| Doc. No
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b778268
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| Main Entry
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Trivedi, P. K.
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| Title & Author
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Copula modeling : : an introduction for practitioners /\ Pravin K. Trivedi and David M. Zimmer.
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| Publication Statement
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Hanover, Mass. :: Now Publishers,, ©2007.
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| Series Statement
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Foundations and trends in econometrics,; v. 1, issue 1, p. 1-111
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| Page. NO
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1 online resource (111 pages)
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| ISBN
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1601980213
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: 9781601980212
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9781601980205
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| Bibliographies/Indexes
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Includes bibliographical references (pages 98-106).
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| Contents
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Abstract -- 1. Introduction -- 2. Copulas and dependence -- 3. Generating copulas -- 4. Copula estimation -- 5. Conclusion -- References -- A: Copulas and random number generation -- Updates.
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| Abstract
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This article explores the copula approach for econometric modeling of joint parametric distributions. Although theoretical foundations of copulas are complex, this paper demonstrates that practical implementation and estimation are relatively straightforward. An attractive feature of parametrically specified copulas is that estimation and inference are based on standard maximum likelihood procedures, and thus copulas can be estimated using desktop econometric software. This represents a substantial advantage of copulas over recently proposed simulation based approaches to joint modeling.
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| Subject
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Copulas (Mathematical statistics)
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| Subject
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Copulas (Mathematical statistics)
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| Subject
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MATHEMATICS-- Probability Statistics-- Multivariate Analysis.
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| Dewey Classification
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519.535
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| LC Classification
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QA273.6
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QA273.6.T753 2007
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| Added Entry
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Zimmer, David M.,1977-
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