Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549745 | Statistics & Probability Letters | 2014 | 7 Pages |
Abstract
Akaike Information Criterion (AIC) is frequently employed in the semiparametric setting of selection of copula models, even though as a model selection tool it was developed in a parametric setting. Recently a Copula Information Criterion (CIC) has been especially designed for copula model selection. In this paper we examine the two approaches and present a simulation study where the performance of a cross-validated version of CIC is compared with the AIC criterion. Only minor differences are observed.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lars Arne Jordanger, Dag Tjøstheim,