A0463
Title: A parameterized empirical beta copula
Authors: Xiaoling Dou - Japan Womens University (Japan) [presenting]
Abstract: The empirical beta copula is defined by using ranks of data and the beta distribution. It can be considered a non-parametric method for describing the dependence structure of multivariate data. Since no parameter is needed to estimate the copula, this method is very easy to use. However, since the method uses all ranks of the data, when the sample size is large, the computation of beta functions in this method shows difficulty. To enhance the utility of this copula, its parameterization is considered by separating the data into cells of a K by K grid and investigating the method of selecting K. This would make it easier to computation and provide a smoother copula density.
