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|Title:||Prediction through a gumbel barnett copula|
Gonzalez-Lopez, V. A.
Hergert, B. S.
|Abstract:||In this paper we investigate the performance of a copula type Gumbel-Barnett, for prediction of the dependence between two variables, X and Y. We fit a copula, using a sample of observations collected at time t and we define predictive areas, at different levels, to detect specific changes in a sample at time t + 1, both samples are governed by the same law (copula). The study addresses the more general problem of detecting dependence changes during different periods of time. This work is developed under a Bayesian perspective, a procedure that allows working with small sample sizes and under different assumptions introduced in the model through the prior distribution.|
|Subject:||Cópulas (Estatística matemática)|
Copulas (Mathematical statistics)
Distribution (Probability theory)
|Appears in Collections:||IMECC - Artigos e Outros Documentos|
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