Comparison of Some Selection Criteria for Selecting Bivariate Archimedean Copulas

Authors : Çiğdem TOPÇU GÜLÖKSÜZ

Pages : 250-255

View : 19 | Download : 8

Publication Date : 2016-04-30

Article Type : Research Paper

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