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https://hdl.handle.net/10419/31135
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DC Field | Value | Language |
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dc.contributor.author | Klüppelberg, Claudia | en |
dc.contributor.author | Kuhn, Gabriel | en |
dc.date.accessioned | 2007-03-06 | - |
dc.date.accessioned | 2010-05-14T10:14:29Z | - |
dc.date.available | 2010-05-14T10:14:29Z | - |
dc.date.issued | 2006 | - |
dc.identifier.pi | doi:10.5282/ubm/epub.1871 | en |
dc.identifier.pi | urn:nbn:de:bvb:19-epub-1871-2 | en |
dc.identifier.uri | http://hdl.handle.net/10419/31135 | - |
dc.description.abstract | In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a 'correlation-like' structure remains but different margins and non-existence of moments are possible. Moreover, elliptical copulae allow also for a 'copula structure analysis' of dependence in extremes. After introducing the new concepts and deriving some theoretical results we observe in a simulation study the performance of the estimators: the theoretical asymptotic behavior of the statistics can be observed even for a sample of only 100 observations. Finally, we test our method on real financial data and explain differences between our copula based approach and the classical approach. Our new method yields a considerable dimension reduction also in non-linear models. | en |
dc.language.iso | eng | en |
dc.publisher | |aLudwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |cMünchen | en |
dc.relation.ispartofseries | |aDiscussion Paper |x507 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | copula structure analysis | en |
dc.subject.keyword | correlation structure analysis | en |
dc.subject.keyword | covariance structure analysis | en |
dc.subject.keyword | dimension reduction | en |
dc.subject.keyword | elliptical copula | en |
dc.subject.keyword | factor analysis | en |
dc.subject.keyword | Kendall's tau | en |
dc.subject.keyword | tail copula | en |
dc.subject.keyword | tail dependence | en |
dc.title | Copula structure analysis based on robust and extreme dependence measures | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 525325832 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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