Extensions to Gaussian copula models Public Deposited

http://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/n870zt22r

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  • A copula is the representation of a multivariate distribution. Copulas are used to model multivariate data in many fields. Recent developments include copula models for spatial data and for discrete marginals. We will present a new methodological approach for modeling discrete spatial processes and for predicting the process at unobserved locations. We employ Bayesian methodology for both estimation and prediction. Comparisons between the new method and Generalized Additive Model (GAM) are done to test the performance of the prediction. Although there exists a large variety of copula functions, only a few are practically manageable and in certain problems one would like to choose the Gaussian copula to model the dependence. Furthermore, most copulas are exchangeable, thus implying symmetric dependence. However, none of them is flexible enough to catch the tailed (upper tailed or lower tailed) distribution as well as elliptical distributions. An elliptical copula is the copula corresponding to an elliptical distribution by Sklar's theorem, so it can be used appropriately and effectively only to fit elliptical distributions. While in reality, data may be better described by a "fat-tailed" or "tailed" copula than by an elliptical copula. This dissertation proposes a novel pseudo-copula (the modified Gaussian pseudo-copula) based on the Gaussian copula to model dependencies in multivariate data. Our modified Gaussian pseudo-copula differs from the standard Gaussian copula in that it can model the tail dependence. The modified Gaussian pseudo-copula captures properties from both elliptical copulas and Archimedean copulas. The modified Gaussian pseudo-copula and its properties are described. We focus on issues related to the dependence of extreme values. We give our pseudo-copula characteristics in the bivariate case, which can be extended to multivariate cases easily. The proposed pseudo-copula is assessed by estimating the measure of association from two real data sets, one from finance and one from insurance. A simulation study is done to test the goodness-of-fit of this new model.
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  • description.provenance : Submitted by Yan Fang (fangya@onid.orst.edu) on 2012-05-26T19:07:38Z No. of bitstreams: 1 FangYan2012.pdf: 1002265 bytes, checksum: 7d5e8414ca29a0318ac815cbdd201078 (MD5)
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