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Effects of marginal specifications on copula estimation
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Azam, Kazim (2014) Effects of marginal specifications on copula estimation. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (TWERPS), Volume 2014 (Number 1053). (Unpublished)
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
This paper studies the effect of marginal distributions on a copula, in the case of mixed discrete-continuous random variables. The existing literature has proposed various methods to deal with mixed marginals: this paper is the first to quantify their effect in a unified Bayesian setting. Using order statistics based information for the marginals, as proposed by Ho (2007), we find that in small samples the bias and mean square error are at least half in size as compared to those
of empirical or misspecified marginal distributions. The difference in the bias and mean square error enlarges with increasing sample size, especially for low count discrete variables. We employ the order statistics method on firm-level patents data, containing both discrete and continuous random variables, and consistently estimate their correlation.
| Item Type: | Working or Discussion Paper (Working Paper) | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Library of Congress Subject Headings (LCSH): | Copulas (Mathematical statistics), Marginal distributions | ||||
| Series Name: | Warwick economics research papers series (TWERPS) | ||||
| Publisher: | University of Warwick. Department of Economics | ||||
| Place of Publication: | Coventry | ||||
| Official Date: | August 2014 | ||||
| Dates: |
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| Volume: | Volume 2014 | ||||
| Number: | Number 1053 | ||||
| Number of Pages: | 20 | ||||
| Status: | Not Peer Reviewed | ||||
| Publication Status: | Unpublished | ||||
| Access rights to Published version: | Open Access (Creative Commons) | ||||
| Date of first compliant deposit: | 28 July 2016 | ||||
| Date of first compliant Open Access: | 28 July 2016 |
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