Optimal discrimination design for copula models

Optimum experimental design theory has recently been extended for parameter estimation in copula models. However, the choice of the correct dependence structure still requires wider analyses. In this work the issue of copula selection is treated by using discrimination design techniques. The new pro...

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Hauptverfasser: Perrone, Elisa, Rappold, Andreas, Müller, Werner G
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Sprache:eng
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Zusammenfassung:Optimum experimental design theory has recently been extended for parameter estimation in copula models. However, the choice of the correct dependence structure still requires wider analyses. In this work the issue of copula selection is treated by using discrimination design techniques. The new proposed approach consists in the use of $D_s$-optimality following an extension of corresponding equivalence theory. We also present some examples and highlight the strength of such a criterion as a way to discriminate between various classes of dependences.
DOI:10.48550/arxiv.1601.07739