هفدهمین کنفرانس آمار ایران , 2024-08-20

Title : ( Potential Statistical Evidence for Copula Model Selection Based on Rényi Distance )

Authors: Morteza Mohammadi , Majid Hashempour , Mahdi Emadi ,

Citation: BibTeX | EndNote

Abstract

In recent years, the study of copula has made significant progress, and the need for a simple and reliable method to select the appropriate copula model is essen- tial. This paper proposes the use of copula-based Rényi distance as a criterion capable of evaluating potential statistical evidence in an experiment for model selection. In addition, we present two nonparametric estimation methods, empirical and Bernstein, to estimate this distance. Finally, we evaluate the accuracy of these methods through a simulation study

Keywords

, Copula model, Potential statistical evidence, Rényi distance