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Čt 06.12.2018

Artem Prokhorov, Ph.D. (U. of Sydney Business School) “A New Family of Copulas, with Application to Estimation of a Production Frontier System”

Artem Prokhorov, Ph.D.

The University of Sydney Business School, Australia

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Authors: Christine Amsler, Artem B. Prokhorov, and Peter Schmidt

Abstract: In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is correlated with |w2 − ½|. We show how this family of copulas can be applied to the error structure in an econometric production frontier model. We also generalize the family of copulas to more than two dimensions, and we give an empirical application.
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Full Text: “A New Family of Copulas, with Application to Estimation of a Production Frontier System”