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| SELECTION OF A COPULA MODEL TO FIT BIVARIATE
DEPENDENT DATA |
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EDITION |
Edición 158 - Junio de 2009 |
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| AUTORS |
CARLOS LOPERA
MARIO JARAMILLO
LUIS DAVID ARCILA
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| ABSTRACT |
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| Modeling problems involving bivariate dependent data is very important in many areas, such as
finance, actuary, reliability and survival analysis. In the literature, some copula models have been widely used to
modelling dependent multivariate distributions, among which stands out the Archimedean copula class. This paper
presents a methodology to select from some Archimedean copula models the one that fits the best to a dependent
dataset, using goodness-of-fit plots, Q-Q plots and Cramér-von Mises goodness-of-fit test. We illustrated the
methodology using simulated data and data from insurance claims. The results showed that the data insurance fits to
a bivariate model based on the so called Frank's copula with lognormal marginals. |
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| KEY WORDS |
Copula models, Dependent bivariate distribution, Goodness-of-fit plot, Q-Q plot, Goodness-of-fit
test. |
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[ PDF (505 kB)] 
