Exercise 8.12 One obtains the following output from the MATLAB function EstDep.

pseudo: [500x3 double]

stat: [0.3851 0.5533 0.5498 0.5537]

std: [0.5439 0.7148 0.6723 0.6934]

error: [0.0477 0.0627 0.0589 0.0608]

pvalue: [0 0 0 0]

names: {’Kendall’ ’Spearman’ ’van der Waerden’ ’Pearson’}

For each of the following families, find the “best” estimation of the related parameter and construct a 95% confidence interval.

(a) Gaussian copula Cρ.

(b) Student copula Cρ,ν .

(c) Clayton copula Cθ.

(d) Frank copula Cθ.

(e) Gumbel copula Cθ.

(f) Plackett copula Cθ.