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Title: Copula functions and application to multivariate stochastic frontier models
Author: Carta, Alessandro
ISNI:       0000 0004 2735 6277
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 2012
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Copula functions represent a statistical methodology that has recently attracted a lot of attention in different fields of applications such as finance, economics, microeconomics and etc. Copulas are mainly known to have the ability to disentangle a multivariate distributions in two components: dependence and marginal functions. In this Thesis we apply this statistical tool to elaborate a multivariate stochastic frontier model, with the purpose of estimating the inefficiency term of economic units, producing more than one output. The proposed model is compared with the previous multivariate models introduced in the literature so far, highlighting the main advantages. All the statistical analyses are conducted under the Bayesian paradigm and the formal tool of Bayes factor is implemented to compare various copula specifications. In Chapter 5 we introduce further topics where our approach, under suitable modifications, can be applied.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: QA Mathematics