Stochastic Dependence Modelling Using Conditional Elliptical Processes

Diakarya Barro, Simplice Dossou-Gbété, Saliou Diouf

Abstract


The class of elliptical structures includes a vast field of known symmetric distributions and copulas. This article investigates the properties of the copula underlying a stochastic elliptical process in conditional context. Specifically we characterize the conditional high dimensional copulas of the elliptical process both in non-spatial framework and for space-varying models. A spatial conditional measure is constructed to model the joint dependence of these copulas and distributions with applications to the three most known elliptical structures.

Full Text: PDF DOI: 10.5539/jmr.v4n6p130

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This work is licensed under a Creative Commons Attribution 3.0 License.

Journal of Mathematics Research   ISSN 1916-9795 (Print)   ISSN 1916-9809 (Online)

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