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A Comparison of Archimedean Copula Models for approximating Bivariate Skew-Normal Distribution

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  • A. Nanthakumar

Abstract

This paper compares the performance of some Archimedean Copulas in approximating the bivariate skew-normal distribution. Our study shows Frank Copula is a better Archimedean Copula for approximating the bivariate skew-normal distribution.

Suggested Citation

  • A. Nanthakumar, 2020. "A Comparison of Archimedean Copula Models for approximating Bivariate Skew-Normal Distribution," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 9(1), pages 1-70, January.
    • Handle: RePEc:ibn:ijspjl:v:9:y:2020:i:1:p:70
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    References listed on IDEAS

    as
    1. Gupta, Arjun K. & González-Farías, Graciela & Domínguez-Molina, J. Armando, 2004. "A multivariate skew normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 181-190, April.
    2. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Too many skew normal distributions? The practitioner’s perspective," Discussion Papers in Economics 13/07, Division of Economics, School of Business, University of Leicester.
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    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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