Title :
The ε-complexity of copulas
Author :
Boris Darkhovsky;Alexandra Piryatinska;Artem Prokhorov;Fujie Xia
Author_Institution :
Institute for Systems, Analysis Russian Academy of Sciences, Moskow, Russia
fDate :
6/1/2015 12:00:00 AM
Abstract :
We introduce the concept of ε-complexity of copula functions, discuss its properties and show how to use it in assessing copula specifications based on empirical copulas. The ε-complexity of copulas can be captured by two parameters of a linear regression which are easy to estimate and test. We provide an application focusing on bivariate modeling of stock returns.
Keywords :
"Approximation methods","Complexity theory","Electronic mail","Joints","Australia","Risk management","Measurement"
Conference_Titel :
Industrial Electronics and Applications (ICIEA), 2015 IEEE 10th Conference on
DOI :
10.1109/ICIEA.2015.7334150
