Method to Select Copula Functions

Copula functions have been extensively used in applied statistics, becoming a good alternative for modeling the dependence of multivariate data. Each copula function has a different dependence structure. An important issue in these applications is the choice of an appropriate copula function model for each one; thus common classical or Bayesian discrimination methods might not be appropriate for determining the best copula. Considering only the special case of bivariate data, we propose a procedure obtained from a recently introduced dependence measure for selecting an appropriate copula for the statistical data analyses.