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Conference papers

A copula to handle tail dependence in high dimension

Gildas Mazo 1, * Stéphane Girard 1, * Florence Forbes 1, *
* Corresponding author
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann, Inria Grenoble - Rhône-Alpes
Abstract : The concept of copula is a useful tool to model multivariate distributions but the construction of tail dependent high dimensional copulas remains a challenging problem. We propose a new copula constructed by introducing a latent factor. Conditional independence with respect to this factor and the use of a nonparametric class of bivariate copulas lead to interesting properties like explicitness, flexibility and parsimony. We propose a pairwise moment-based inference procedure and prove asymptotic normality of our estimator. Finally we illustrate our model on simulated and real data.
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Conference papers
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Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Monday, December 9, 2013 - 11:36:05 AM
Last modification on : Tuesday, October 19, 2021 - 11:13:05 PM


  • HAL Id : hal-00915690, version 1



Gildas Mazo, Stéphane Girard, Florence Forbes. A copula to handle tail dependence in high dimension. ERCIM 2013 - 6th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2013, London, United Kingdom. ⟨hal-00915690⟩



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