Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
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Cites work
- A note on minimum distance estimation of copula densities
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An \(L_ 1\)-variant of the Cramér-von Mises test
- An introduction to copulas.
- Bayesian copula selection
- Bivariate extreme statistics. I
- Comparison of semiparametric and parametric methods for estimating copulas
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- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Estimation of copula-based semiparametric time series models
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Goodness-of-fit tests for copulas
- Goodness-of-fit tests for copulas: A review and a power study
- Goodness-of-fit tests for parametric families of Archimedean copulas
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- Measurement of aggregate risk with copulas
- Remarks on a Multivariate Transformation
- Robust Fits for Copula Models
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- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The t Copula and Related Copulas
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Cited in
(18)- Novel and simple non-parametric methods of estimating the joint and marginal densities
- A new parametric method of estimating the joint probability density
- Parameter estimation of bivariate distributions in presence of outliers: an application to FGM copula
- Copula selection for graphical models in continuous estimation of distribution algorithms
- Estimating Archimedean copulas in high dimensions
- A multi-parameter generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial
- A goodness-of-fit test based on Bézier curve estimation of Kendall distribution
- Parameter estimation of some Archimedean copulas based on minimum Cramér-von-Mises distance
- scientific article; zbMATH DE number 7247670 (Why is no real title available?)
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Robust Fits for Copula Models
- scientific article; zbMATH DE number 7642014 (Why is no real title available?)
- Robust pair-copula based forecasts of realized volatility
- Generalized simulated method-of-moments estimators for multivariate copulas
- Enhancing the flexibility and power of adaptive seamless phase 2/3 design with copula modeling between short-term and long-term endpoints
- Comparison of five estimation methods for the parameters of the Johnson unbounded distribution using simulated and real-data samples
- A flexible parameter estimation method for the Farlie-Gumbel-Morgenstern copula: a simulation study
- A new class of copulas involved geometric distribution: estimation and applications
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