Carta, Alessandro (2012) Copula functions and application to multivariate stochastic frontier models. PhD thesis, University of Warwick.

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Abstract

Copula functions represent a statistical methodology that has recently attracted
a lot of attention in different fields of applications such as finance,
economics, microeconomics and etc. Copulas are mainly known to have the
ability to disentangle a multivariate distributions in two components: dependence
and marginal functions. In this Thesis we apply this statistical tool to
elaborate a multivariate stochastic frontier model, with the purpose of estimating
the inefficiency term of economic units, producing more than one output.
The proposed model is compared with the previous multivariate models introduced
in the literature so far, highlighting the main advantages. All the
statistical analyses are conducted under the Bayesian paradigm and the formal
tool of Bayes factor is implemented to compare various copula specifications.
In Chapter 5 we introduce further topics where our approach, under suitable
modifications, can be applied.

Item Type:	Thesis (PhD)
Subjects:	Q Science > QA Mathematics
Library of Congress Subject Headings (LCSH):	Copulas (Mathematical statistics), Multivariate analysis, Stochastic models
Official Date:	July 2012
Dates:	Date Event July 2012 Submitted
Institution:	University of Warwick
Theses Department:	Department of Statistics
Thesis Type:	PhD
Publication Status:	Unpublished
Extent:	viii, 115 leaves : charts.
Language:	eng

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