Model selection of copulas: AIC versus a cross validation copula information criterion

Akaike Information Criterion (AIC) is frequently employed in the semiparametric setting of selection of copula models, even though as a model selection tool it was developed in a parametric setting. Recently a Copula Information Criterion (CIC) has been especially designed for copula model selection. In this paper we examine the two approaches and present a simulation study where the performance of a cross-validated version of CIC is compared with the AIC criterion. Only minor differences are observed. (C) 2014 Elsevier B.V. All rights reserved.