Efficient estimation of copula-based semiparametric Markov models (Q1043729)
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scientific article; zbMATH DE number 5644271
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| English | Efficient estimation of copula-based semiparametric Markov models |
scientific article; zbMATH DE number 5644271 |
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Efficient estimation of copula-based semiparametric Markov models (English)
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9 December 2009
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copula
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geometric ergodicity
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nonlinear Markov models
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semiparametric efficiency
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sieve likelihood ratio statistics
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sieve MLE
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tail dependence
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value-at-risk
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0.95227855
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