Abstract
Copula theory has got a rapid development in recent years. Most used copulas are symmetric: Archimedean are symmetric by construction while other continuous multivariate copulas are usually constructed from elliptical distributions and therefore are symmetric. From skewed copulas we can refer only to a copula introduced in [5], which the authors called skew t-copula. The construction of it differs from our approach.We introduce a multivariate t-copula which is based on the skew t-distribution introduced in [1]. Parameters of the copula have been estimated by method of moments and a simulation rule is given. The behaviour of estimates of the shape parameter of the skewed t-distribution is illustrated by simulation. The skew t-copula is used for modelling real data.
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Acknowledgements
The authors are thankful to a Referee for valuable comments. Tõnu Kollo is grateful to the Estonian Research Foundation for support through the grant GMTMS7435.
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Kollo, T., Pettere, G. (2010). Parameter Estimation and Application of the Multivariate Skew t-Copula. In: Jaworski, P., Durante, F., Härdle, W., Rychlik, T. (eds) Copula Theory and Its Applications. Lecture Notes in Statistics(), vol 198. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12465-5_15
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DOI: https://doi.org/10.1007/978-3-642-12465-5_15
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