Multivariate Kurtosis as a Tool for Comparing Copula Models


  •  Ampalavanar Nanthakumar    

Abstract

This paper studies the effectiveness of the Multivariate Kurtosis in comparing the Clayton Copula and the Farleigh-Gumbel-Morgenstern Copula in modeling when the actual populations follow either the bivariate exponential distribution or the bivariate normal distribution. The study shows that the Multivariate Kurtosis (as defined by Mardia) is a very effective tool in comparing Copulas and that Farleigh-Gumbel-Morgenstern Copula is slightly more accurate than the Clayton Copula for modeling.



This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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