en
Report
Open access
English

Robust Estimation of Bivariate Copulas

Publication date2013
Abstract

Copula functions are very convenient for modelling multivariate observations. Popular es- timation methods are the two-stage maximum likelihood and an alternative semi-parametric with empirical cumulative distribution functions (cdf) for the margins. Unfortunately, they can be hastily biased whenever relatively small model deviations occur at the marginal (empirical or parametric) and/or copula levels. In this paper we propose three robust estimators that do not share this undesirable feature. Since heavy skewed and heavy tailed parametric marginals are often considered in applications, we also propose a bounded-bias robust estimator that is corrected for consistency by means of indirect inference. In a simulation study we show that the robust estimators outperform the popular approaches.

Keywords
  • M-estimators
  • Indirect Inference
  • Income distribution
  • Semi-parametric estimation
  • Gumbel copula
Citation (ISO format)
GUERRIER, Stéphane, ORSO, Samuel, VICTORIA-FESER, Maria-Pia. Robust Estimation of Bivariate Copulas. 2013
Main files (1)
Report
accessLevelPublic
Identifiers
  • PID : unige:30307
876views
560downloads

Technical informations

Creation09/30/2013 5:18:00 PM
First validation09/30/2013 5:18:00 PM
Update time03/14/2023 8:32:18 PM
Status update03/14/2023 8:32:18 PM
Last indexation01/16/2024 7:53:46 AM
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack