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B0427
Title: On copulas and finite mixtures Authors:  Mohamad Khaled - University of Queensland (Australia) [presenting]
Robert Kohn - University of New South Wales (Australia)
Abstract: Finite mixtures have been used as a tool for constructing flexible families of copulas. Yet the approximation properties of finite mixtures of copulas are not well known. We explore some of those properties. In particular, three different types of statistical models are studied: finite mixture models where the component distributions are given by Archimidean copulas, finite mixtures of elliptical copulas and copulas of finite mixtures of multivariate normal distributions. Identification and statistical inferential procedures are explored in each case.