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A Graphical Tool for Copula Selection Based on Tail Dependence

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Classification, (Big) Data Analysis and Statistical Learning

Abstract

In many practical applications, the selection of copulas with a specific tail behaviour may allow to estimate properly the region of the distribution that is needed at most, especially in risk management procedures. Here, a graphical tool is presented in order to assist the decision maker in the selection of an appropriate model for the problem at hand. Such a tool provides valuable indications for a preliminary overview of the tail features of different copulas which may help in the choice of a parametric model. Its use is illustrated under various dependency scenarios.

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Acknowledgements

The second author has been partially supported by the Faculty of Economics and Management (Free University of Bozen-Bolzano, Italy), via the project ‘NEW-DEMO’. The other authors acknowledge the support of the University of Trieste, FRA 2014 (‘Metodi e modelli matematici e statistici per la valutazione e gestione del rischio in ambito finanziario e assicurativo’) and FRA 2016 (‘Nuovi sviluppi di statistica e matematica applicata per la previsione, l’analisi e la gestione dei rischi con applicazioni in ambito finanziario e assicurativo’).

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Authors and Affiliations

  1. Department of Economics, Business, Mathematics and Statistics, University of Trieste, I-34127, Trieste, Italy

    Roberta Pappadà & Nicola Torelli

  2. Dipartimento di Scienze dell’Economia, Università del Salento, I-73100, Lecce, Italy

    Fabrizio Durante

Authors
  1. Roberta Pappadà
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  2. Fabrizio Durante
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  3. Nicola Torelli
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Corresponding author

Correspondence to Roberta Pappadà .

Editor information

Editors and Affiliations

  1. Department of Business and Economics, University of Cagliari, Cagliari, Italy

    Francesco Mola

  2. Department of Business and Economics, University of Cagliari, Cagliari, Italy

    Claudio Conversano

  3. Department of Statistical Sciences, Sapienza University of Rome, Rome, Italy

    Maurizio Vichi

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Pappadà, R., Durante, F., Torelli, N. (2018). A Graphical Tool for Copula Selection Based on Tail Dependence. In: Mola, F., Conversano, C., Vichi, M. (eds) Classification, (Big) Data Analysis and Statistical Learning. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Cham. https://doi.org/10.1007/978-3-319-55708-3_23

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