Linear factor copula models and their properties

Pavel Krupskii, Marc G. Genton

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

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.
Original languageEnglish (US)
Pages (from-to)861-878
Number of pages18
JournalScandinavian Journal of Statistics
Volume45
Issue number4
DOIs
StatePublished - Apr 25 2018

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledgements: 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.

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