Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data
Publication:641791
DOI10.1007/s00362-009-0279-8zbMath1230.62028MaRDI QIDQ641791
Publication date: 25 October 2011
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-009-0279-8
efficiency; Hessian; Fisher information; maximum likelihood; semiparametric estimation; bivariate \(t\)-copula
62H12: Estimation in multivariate analysis
62F25: Parametric tolerance and confidence regions
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62F40: Bootstrap, jackknife and other resampling methods
62G09: Nonparametric statistical resampling methods
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