GeD spline estimation of multivariate Archimedean copulas

DOI10.1016/J.CSDA.2007.11.010zbMath1452.62347OpenAlexW2086029386MaRDI QIDQ1023694

Spiridon I. Penev, Vladimir K. Kaishev, Dimitrina S. Dimitrova

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/11959/1/Dimitrova%20et%20al.%20%282008%29%20CSDA.pdf

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (11)

Out-of-sample comparison of copula specifications in multivariate density forecasts ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Geometrically designed variable knot splines in generalized (non-)linear models ⋮ Unnamed Item ⋮ A goodness-of-fit test based on Bézier curve estimation of Kendall distribution ⋮ Semiparametric bivariate Archimedean copulas ⋮ On the weighted tests of independence based on Bernstein empirical copula ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Unnamed Item ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Inference in multivariate Archimedean copula models

Cites Work

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