Assessing copula models for mixed continuous-ordinal variables
Abstract: Vine pair-copula constructions exist for a mix of continuous and ordinal variables. In some steps, this can involve estimating a bivariate copula for a pair of mixed continuous-ordinal variables. To assess the adequacy of copula fits for such a pair, diagnostic and visualization methods based on normal score plots and conditional Q–Q plots are proposed. The former uses a latent continuous variable for the ordinal variable. The methods are applied to data generated from some existing probability models for a mixed continuous-ordinal variable pair, and for such models, Kullback-Leibler divergence is used to assess whether simple parametric copula families can provide adequate fits. The effectiveness of the proposed visualization and diagnostic methods is illustrated on a dataset.
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Erschienen in
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Assessing copula models for mixed continuous-ordinal variables ; volume:12 ; number:1 ; year:2024 ; extent:18
Dependence modeling ; 12, Heft 1 (2024) (gesamt 18)
- Urheber
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Pan, Shenyi
Joe, Harry
- DOI
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10.1515/demo-2024-0001
- URN
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urn:nbn:de:101:1-2405291535213.066260634116
- Rechteinformation
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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14.08.2025, 10:46 MESZ
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Beteiligte
- Pan, Shenyi
- Joe, Harry
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