Title: Inference for copula modeling of discrete data: A cautionary tale and some facts
Authors: Olivier Faugeras - Toulouse School of Economics - University of Toulouse Capitole (France) [presenting]
Abstract: Some of the mathematical, statistical and epistemological issues involved in using copulas to model discrete data are elucidated. We contrast the possible use of (nonparametric) copula methods versus the problematic use of parametric copula models. For the latter, we stress, among other issues, the possibility of obtaining impossible models, arising from model misspecification or unidentifiability of the copula parameter.