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Revista Colombiana de Estadística

Print version ISSN 0120-1751

Rev.Colomb.Estad. vol.42 no.1 Bogotá Jan./June 2019  Epub May 23, 2019

http://dx.doi.org/10.15446/rce.v42n1.71078 

Artículos originales de investigación

A Method to Select Bivariate Copula Functions

Un método para seleccionar funciones cópula bivariadas

José Rafael Tovar Cuevas1  , Jennyfer Portilla Yela1  2  , Jorge Alberto Achcar3 

1 Escuela de Estadística, Facultad de Ingeniería, Universidad del Valle, Cali, Colombia. jose.r.tovar@correounivalle.edu.co

2 Departamento de ciencias naturales y matemáticas, Pontificia Universidad Javeriana, Cali, Colombia. jennyfer.portilla@javerianacali.edu.co

3 Faculdade de Medicina, Universidade de São Paulo, Ribeirão Preto SP, Brazil. achcar@fmrp.usp.br

Abstract

Copula functions have been extensively used in applied statistics, becoming a good alternative for modeling the dependence of multivariate data. Each copula function has a different dependence structure. An important issue in these applications is the choice of an appropriate copula function model for each case where standard classical or Bayesian discrimination methods could be not appropriate to decide by the best copula. Considering only the special case of bivariate data, we propose a procedure obtained from a recently dependence measure introduced in the literature to select an appropriate copula for the statistical data analyses.

Key words: Copula functions; Discrimination of copulas; Dependence measure; Ledwina measure; Selection method

Resumen

Las funciones de la cópula se han utilizado ampliamente en las estadísticas aplicadas, convirtiéndose en una buena alternativa para modelar la dependencia de los datos multivariados. Cada función de la cópula tiene una estructura de dependencia diferente. Un tema importante en estas aplicaciones es la elección de un modelo de función de cópula apropiado para cada caso en el que los métodos de discriminación clásicos o bayesianos estándar no sean apropiados para decidir por la mejor cópula. Considerando solo el caso especial de datos bivariados, proponemos un procedimiento obtenido a partir de una medida de dependencia recientemente introducida en la literatura para seleccionar una cópula apropiada para los análisis de datos estadísticos.

Palabras-clave: Discriminación de cópulas; Funciones de cópula; Medida de dependencia; Medida de Ledwina; Método de selección

Full text available only in PDF format.

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Received: April 2018; Accepted: November 2018

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