Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions (Q6050786): Difference between revisions

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scientific article; zbMATH DE number 7739789

Language	Label	Description	Also known as
English	Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions	scientific article; zbMATH DE number 7739789

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scholarly article

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title

Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions (English)

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Journal of Statistical Computation and Simulation

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publication date

19 September 2023

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zbMATH Keywords

maximum pseudo-likelihood estimator

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aggregated maximum pseudo-likelihood estimator

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bivariate margins

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probability density function

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Archimedean and Archimax copulas

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hierarchical copulas

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MaRDI profile type

MaRDI publication profile

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cites work

A semiparametric estimation procedure of dependence parameters in multivariate families of distributions

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Inferences on the Association Parameter in Copula Models for Bivariate Survival Data

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On weighting of bivariate margins in pairwise likelihood

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Statistical modeling of spatial extremes

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Q3825957

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Q3074760

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Spatial composite likelihood inference using local C-vines

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Multivariate extreme value copulas with factor and tree dependence structures

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Composite likelihood estimation in multivariate data analysis

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Inference for Archimax copulas

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Hierarchical Archimedean copulas through multivariate compound distributions

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Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions

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Likelihood inference for Archimedean copulas in high dimensions under known margins

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Densities of nested Archimedean copulas

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STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY

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Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation

0 references

The<i>t</i>copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management

0 references

Elements of Copula Modeling with R

0 references

Q5262079

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Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

0 references

Q4382161

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Sampling nested Archimedean copulas

0 references

A stochastic representation and sampling algorithm for nested Archimedean copulas

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Composite likelihood estimation for the Brown-Resnick process

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Models for discrete longitudinal data.

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Q3945384

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Efficient pairwise composite likelihood estimation for spatial-clustered data

0 references

Efficiently sampling nested Archimedean copulas

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On the structure and estimation of hierarchical Archimedean copulas

0 references

On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison

0 references

On structure, family and parameter estimation of hierarchical Archimedean copulas

0 references

Bivariate distributions with given extreme value attractor

0 references

Multivariate Archimax copulas

0 references

Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions

0 references

An introduction to copulas.

0 references

Right-truncated Archimedean and related copulas

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Hierarchical Archimax copulas

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Identifiers

DOI

10.1080/00949655.2023.2180511

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6050786

@@ Property / cites work @@
+A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
+Normal rank
@@ Property / cites work @@
+Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
+Normal rank
@@ Property / cites work @@
+On weighting of bivariate margins in pairwise likelihood
+Normal rank
@@ Property / cites work @@
+Statistical modeling of spatial extremes
@@ Property / cites work: Statistical modeling of spatial extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3825957
@@ Property / cites work: Q3825957 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3074760
@@ Property / cites work: Q3074760 / rank @@
+Normal rank
@@ Property / cites work @@
+Spatial composite likelihood inference using local C-vines
+Normal rank
@@ Property / cites work @@
+Multivariate extreme value copulas with factor and tree dependence structures
+Normal rank
@@ Property / cites work @@
+Composite likelihood estimation in multivariate data analysis
+Normal rank
@@ Property / cites work @@
+Inference for Archimax copulas
@@ Property / cites work: Inference for Archimax copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchical Archimedean copulas through multivariate compound distributions
+Normal rank
@@ Property / cites work @@
+Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
+Normal rank
@@ Property / cites work @@
+Likelihood inference for Archimedean copulas in high dimensions under known margins
+Normal rank
@@ Property / cites work @@
+Densities of nested Archimedean copulas
@@ Property / cites work: Densities of nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
+Normal rank
@@ Property / cites work @@
+Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
+Normal rank
@@ Property / cites work @@
+The<i>t</i>copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
+Normal rank
@@ Property / cites work @@
+Elements of Copula Modeling with R
@@ Property / cites work: Elements of Copula Modeling with R / rank @@
+Normal rank
@@ Property / cites work @@
+Q5262079
@@ Property / cites work: Q5262079 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Sampling nested Archimedean copulas
@@ Property / cites work: Sampling nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic representation and sampling algorithm for nested Archimedean copulas
+Normal rank
@@ Property / cites work @@
+Composite likelihood estimation for the Brown-Resnick process
+Normal rank
@@ Property / cites work @@
+Models for discrete longitudinal data.
@@ Property / cites work: Models for discrete longitudinal data. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3945384
@@ Property / cites work: Q3945384 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient pairwise composite likelihood estimation for spatial-clustered data
+Normal rank
@@ Property / cites work @@
+Efficiently sampling nested Archimedean copulas
@@ Property / cites work: Efficiently sampling nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+On the structure and estimation of hierarchical Archimedean copulas
+Normal rank
@@ Property / cites work @@
+On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
+Normal rank
@@ Property / cites work @@
+On structure, family and parameter estimation of hierarchical Archimedean copulas
+Normal rank
@@ Property / cites work @@
+Bivariate distributions with given extreme value attractor
+Normal rank
@@ Property / cites work @@
+Multivariate Archimax copulas
@@ Property / cites work: Multivariate Archimax copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Right-truncated Archimedean and related copulas
@@ Property / cites work: Right-truncated Archimedean and related copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Hierarchical Archimax copulas
@@ Property / cites work: Hierarchical Archimax copulas / rank @@
+Normal rank