Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection

From MaRDI portal
Revision as of 04:47, 7 March 2024 by Import240305080351 (talk | contribs) (Created automatically from import240305080351)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:5718589

DOI10.1002/CJS.5540330306zbMath1077.62032OpenAlexW2080412783MaRDI QIDQ5718589

Yanqin Fan, Xiaohong Chen

Publication date: 16 January 2006

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5540330306




Related Items (42)

Estimation of copula-based semiparametric time series modelsSCOMDY models based on pair-copula constructions with application to exchange ratesUnnamed ItemEstimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecificationOut-of-sample comparison of copula specifications in multivariate density forecastsOn tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticityCopula-based tests for cross-sectional independence in panel modelsWavelet block thresholding for copula density estimation under biased samplingA goodness-of-fit test based on Bézier curve estimation of Kendall distributionA corrected Clarke test for model selection and beyondA goodness-of-fit test for bivariate extreme-value copulasEstimation of Copulas via Maximum Mean DiscrepancyDo stock returns have an Archimedean copula?Semiparametric models of longitudinal and time-to-event data with applications to HIV viral dynamics and CD4 countsAsymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change pointsArchimedean copula estimation and model selection via \(l_1\)-norm symmetric distributionLocal Power Analyses of Goodness‐of‐fit Tests for CopulasChange point detection in copula ARMA–GARCH ModelsComparing the accuracy of multivariate density forecasts in selected regions of the copula supportModeling statistical dependence of Markov chains via copula modelsDependence structure of conditional Archimedean copulasA semiparametric maximum likelihood ratio test for the change point in copula modelsOn the structure and estimation of hierarchical Archimedean copulasCrisis and risk dependenciesEstimation and model selection of semiparametric multivariate survival functions under general censorshipThe Copula Information CriteriaPair-copula constructions of multiple dependenceStatistical properties of parametric estimators for Markov chain vectors based on copula modelsCalibration estimation of semiparametric copula models with data missing at randomLikelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored dataGoodness-of-fit test for specification of semiparametric copula dependence modelsBayesian copula selectionGoodness-of-fit test for tail copulas modeled by elliptical copulasEstimating copula densities through waveletsOn a new goodness-of-fit process for families of copulasCopula model evaluation based on parametric bootstrapCopula Density Estimation Using Multiwavelets Based on the Multiresolution AnalysisA new approach to measure systemic risk: a bivariate copula model for dependent censored dataSome alternative bivariate Kumaraswamy-type distributions via copula with application in risk managementFitting High-Dimensional Copulae to DataA diagnostic test for specification of copulas under censorshipEstimating the Probability of a Rare Event via Elliptical Copulas




Cites Work




This page was built for publication: Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection