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Type: Artigo
Title: Prediction through a gumbel barnett copula
Author: Fernandez, M.
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)
Inferência bayesiana
Distribuição (Probabilidades)
Copulas (Mathematical statistics)
Bayesian inference
Distribution (Probability theory)
Country: Estados Unidos
Editor: AIP Publishing
Rights: fechado
Identifier DOI: 10.1063/1.4992384
Date Issue: 2017
Appears in Collections:IMECC - Artigos e Outros Documentos

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