SINAPE

[Esta palestra será proferida em português/This talk will be in Portuguese]

In this paper we extend our previous work and study robust estimation of pair-copula models through the minimization of weighted goodness of fit statistics. Different weight functions emphasize different regions on the unit cube where contaminations may be located. The resulting WMDE estimators are compared to the classical maximum likelihood estimators MLE, and to their weighted version WMLE, an estimator obtained in two steps. All estimators are compared in a comprehensive simulation study.

The Student-t distribution is habitually used for modeling symmetric data. This family has appealing properties such as robust estimates, easy number generation, and effcient computation of the ML estimates via the EM-algorithm; see Dempster et al. (1977) and Lange et al. (1989). The Birnbaum-Saunders (BS) distribution is a positively skewed model that is related to the normal distribution and has received considerable attention; see Johnson et al. (1995), Leiva et al. (2009) and Balakrishnan et al. (2009).

How systems transform streams of input information into one or more output behaviours is a preoccupation over virtually all the sciences, whether pure or applied. In many of these fields, models tend to be defined in terms of systems of differential equations, or dynamic systems. Until recently, statisticians had little to say about how to fit such models to data, or about how to draw inferences from data on such systems.