Open Science Research Excellence
%0 Journal Article
%A Jin Zhang and  Wing Lon Ng
%D 2010 
%J  International Journal of Computer, Electrical, Automation, Control and Information Engineering
%B World Academy of Science, Engineering and Technology
%I International Science Index 40, 2010
%T EML-Estimation of Multivariate t Copulas with Heuristic Optimization
%U http://waset.org/publications/3163
%V 40
%X In recent years, copulas have become very popular in
financial research and actuarial science as they are more flexible in
modelling the co-movements and relationships of risk factors as compared
to the conventional linear correlation coefficient by Pearson.
However, a precise estimation of the copula parameters is vital in
order to correctly capture the (possibly nonlinear) dependence structure
and joint tail events. In this study, we employ two optimization
heuristics, namely Differential Evolution and Threshold Accepting to
tackle the parameter estimation of multivariate t distribution models
in the EML approach. Since the evolutionary optimizer does not rely
on gradient search, the EML approach can be applied to estimation of
more complicated copula models such as high-dimensional copulas.
Our experimental study shows that the proposed method provides
more robust and more accurate estimates as compared to the IFM
approach.
%P 698 - 702