A0628
Title: A versatile trivariate wrapped Cauchy copula
Authors: Sophia Loizidou - University of Luxembourg (Luxembourg) [presenting]
Christophe Ley - University of Luxembourg (Luxembourg)
Shogo Kato - Institute of Statistical Mathematics (Japan)
Kanti Mardia - Leeds University (United Kingdom)
Abstract: A new flexible distribution for data on the three-dimensional torus is proposed, which is called a trivariate-wrapped Cauchy copula (TWCD). The trivariate copula has several attractive properties. It has a simple form of density and is unimodal. Its parameters are interpretable and allow an adjustable degree of dependence between every pair of variables, which can be easily estimated. The identifiability condition simplifies the model parameter dimension. The conditional distributions of TWCD are well studied bivariate and univariate wrapped Cauchy distributions. Furthermore, the distribution can be easily simulated, and parameter estimation is possible via maximum likelihood. Another interesting feature of this model is that it can be extended to a cylindrical copula. TWCD is illustrated on data from protein bioinformatics of conformational angles and the cylindrical copula using climate data related to a buoy in the Adriatic Sea.
