@book{7f0273d29faa4c83ab7c89d3b0207a14,

title = "Modeling dependence",

abstract = "A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a given parametric family of copulas or applying the other extreme of modeling dependence in a nonparametric way, an intermediate approach is proposed, based on a sequence of parametric models containing more and more dependency aspects. In contrast to a similar way of thinking in testing theory, the method here, intended for estimating the copula, often requires a somewhat larger number of steps. One approach is based on exponential families, another on contamination families. An extensive numerical investigation is supplied on a large number of well known copulas. The method based on contamination families is recommended. A Gaussian start in this approximation looks very promising.",

keywords = "EWI-6117, MSC-62H12, IR-66193, METIS-238081, MSC-62P05, MSC-62H20",

author = "W.C.M. Kallenberg",

note = "eemcs-eprint-6117 ",

year = "2006",

month = aug,

language = "Undefined",

series = "Applied Mathematics Memoranda",

publisher = "Universiteit Twente, Faculteit Toegepaste Wiskunde",

number = "1809",

}