Comparison of Some Selection Criteria for Selecting Bivariate Archimedean Copulas

Year 2016, Volume: 16 Issue: 2, 250 - 255, 30.04.2016

Çiğdem Topçu Gülöksüz

Abstract

Commonly, while selecting an appropriate bivariate Archimedean copula function that models

data, Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC), and minimum

distance (MD) are used as a selection criterion. In this study, the performances of these

criteria for selecting copula function are investigated by some simulation studies.

Keywords

Copula, Dependency, Archimedean Copula, Selection Criteria

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