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Document type:
Zeitschriftenaufsatz 
Author(s):
Klüppelberg, C., Kuhn, G 
Title:
Copula structure analysis 
Abstract:
In this paper we extend the standard approach of correlation structure analysis for dimension reduction of highdimensional statistical data. The classical assump- tion of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a correlation-like structure remains, but different margins and non-existence of moments are possible. After introducing the new concept and deriving some theoretical results we...    »
 
Keywords:
Copula structure analysis, correlation structure analysis, covariance structure analysis, dimension reduction, elliptical copula, factor analysis, Kendall’s tau. 
Journal title:
J. Royal Stat. Soc., Series B 
Year:
2009 
Journal volume:
71 
Journal issue:
Pages contribution:
737 - 753. 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text