Graphical Methods For Detecting Dependence

Mario César Jaramillo Elorza

Resumen


Copulas have become a useful tool for modeling data when the dependence among random variables exists
and the multivariate normality assumption is not fulfilled. The copulas have been applied in several fields.
In finance, copulas are used in asset modeling and risk management. In biomedical studies, copulas are used
to model correlated lifetimes and competitive risks [1]. In engineering, copulas are used in multivariate
process control and hydrological modeling [2]. The interest in modeling multivariate problems involving
dependent variables is generalized in several areas, making this methodology in a convenient way to model
the dependence structure of random variables. However, in practice there is not a standard method for
selecting a copula among several possible models, so that the choice of an appropriate copula is one of the
greatest challenges facing the researcher. In this paper some graphical methods for detecting dependencies
among random variables are discussed.

Palabras clave


Copula; graphics; dependence

Texto completo:

Remoto (English)

Referencias


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DOI: https://doi.org/10.19053/01217488.v9.n1.2018.5490

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