Inference for copula modeling of discrete data: a cautionary tale and some facts

Faugeras, Olivier (2017) Inference for copula modeling of discrete data: a cautionary tale and some facts. Dependence Modeling, 5 (1). pp. 121-132.

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Official URL: http://tse-fr.eu/pub/31811

Abstract

In this note, we elucidate some of the mathematical, statistical and epistemological issues involved in using copulas to model discrete data. We contrast the possible use of (nonparametric) copula methods versus the problematic use of parametric copula models. For the latter, we stress, among other issues, the possibility of obtaining impossible models, arising from model misspecification or unidentifiability of the copula parameter.

Item Type: Article
Language: English
Date: January 2017
Refereed: Yes
Uncontrolled Keywords: copula, discrete data, parametric model, statistical inference, unidentifiability
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 13 Apr 2018 07:38
Last Modified: 13 Apr 2018 07:38
OAI ID: oai:tse-fr.eu:31811
URI: http://publications.ut-capitole.fr/id/eprint/25635

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