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The Multivariate Burr III copula with applications to income data
Federica Nicolussi

Last modified: 2015-09-05

Abstract


In this work, bivariate Burr III - Rodriguez copula is extended to the multivariate case, studied and applied to some income datasets. This copula seems to be very general and analytically manageable.Moreover, its restriction to second order interactions seems to be a competitor of the multivariate normal copula. However, an application in the paper shows that, in real situations, interactions of order greater than two results significant at 1% and for this need to be included in the model.

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