Browsing Working papers (SNF) by Author "Berentsen, Geir Drage"
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Recognizing and visualizing copulas : an approach using local Gaussian approximation
Berentsen, Geir Drage; Støve, Bård; Tjøstheim, Dag; Nordbø, Tommy (Working paper;12/12, Working paper, 2012-06)Copulas are much used to model nonlinear and non-Gaussian dependence between stochastic variables. Their functional form is determined by a few parameters, but unlike a dependence measure like the correlation, these ...