Parametric dependence between random vectors via copula-based divergence measures

02/27/2023
by   Steven De Keyser, et al.
0

This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of Phi-divergences. An axiomatic framework for this purpose is provided, after which we focus on the absolutely continuous setting assuming copula densities exist. We consider parametric and semi-parametric frameworks, discuss estimation procedures, and report on asymptotic properties of the proposed estimators. In particular, we first concentrate on a Gaussian copula approach yielding explicit and attractive dependence coefficients for specific choices of Phi, which are more amenable for estimation. Next, general parametric copula families are considered, with special attention to nested Archimedean copulas, being a natural choice for dependence modelling of random vectors. The results are illustrated by means of examples. Simulations and a real-world application on financial data are provided as well.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset