$$D_s$$ D s -optimality in copula models

$$D_s$$ D s -optimality in copula models Optimum experimental design theory has recently been extended for parameter estimation in copula models. The use of these models allows one to gain in flexibility by considering the model parameter set split into marginal and dependence parameters. However, this separation also leads to the natural issue of estimating only a subset of all model parameters. In this work, we treat this problem with the application of the $$D_s$$ D s -optimality to copula models. First, we provide an extension of the corresponding equivalence theory. Then, we analyze a wide range of flexible copula models to highlight the usefulness of $$D_s$$ D s -optimality in many possible scenarios. Finally, we discuss how the usage of the introduced design criterion also relates to the more general issue of copula selection and optimal design for model discrimination. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistical Methods & Applications Springer Journals

$$D_s$$ D s -optimality in copula models

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Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2016 by The Author(s)
Subject
Statistics; Statistics, general; Statistical Theory and Methods
ISSN
1618-2510
eISSN
1613-981X
D.O.I.
10.1007/s10260-016-0375-6
Publisher site
See Article on Publisher Site

Abstract

Optimum experimental design theory has recently been extended for parameter estimation in copula models. The use of these models allows one to gain in flexibility by considering the model parameter set split into marginal and dependence parameters. However, this separation also leads to the natural issue of estimating only a subset of all model parameters. In this work, we treat this problem with the application of the $$D_s$$ D s -optimality to copula models. First, we provide an extension of the corresponding equivalence theory. Then, we analyze a wide range of flexible copula models to highlight the usefulness of $$D_s$$ D s -optimality in many possible scenarios. Finally, we discuss how the usage of the introduced design criterion also relates to the more general issue of copula selection and optimal design for model discrimination.

Journal

Statistical Methods & ApplicationsSpringer Journals

Published: Dec 23, 2016

References

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