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dc.date.accessioned2013-03-12T08:18:06Z
dc.date.available2013-03-12T08:18:06Z
dc.date.issued2008en_US
dc.date.submitted2011-07-14en_US
dc.identifier.urihttp://hdl.handle.net/10852/10369
dc.description.abstractWhen estimating parametric copula models by the semiparametric pseudo maximum likelihood procedure (MPLE), many practitioners have used the Akaike Information Criterion (AIC) for model selection in spite of the fact that the AIC formula has no theoretical basis in this setting. We adapt the arguments leading to the original AIC formula in the fully parametric case to the MPLE. This gives a significantly different formula than the AIC, which we name the Copula Information Criterion (CIC). However, we also show that such a model-selection procedure cannot exist for a large class of commonly used copula models. We note that this research report is a revision of a research report dated June 2008. The current version encorporates corrections of the proof of Theorem 1. The conclusions of the previous manuscript are still valid, however.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-23420
dc.titleThe copula information criterionen_US
dc.typeResearch reporten_US
dc.date.updated2011-07-14en_US
dc.creator.authorGrønneberg, Steffenen_US
dc.creator.authorHjort, Nils Liden_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28490en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo132635en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10369/1/stat-res-07-08.pdf


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