Comparison of three semiparametric methods for estimating dependence parameters in copula models (Q661208)
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scientific article; zbMATH DE number 6004731
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| English | Comparison of three semiparametric methods for estimating dependence parameters in copula models |
scientific article; zbMATH DE number 6004731 |
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Comparison of three semiparametric methods for estimating dependence parameters in copula models (English)
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10 February 2012
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pseudo-likelihood
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pseudo-observations
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ranks
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Spearman's rho
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Kendall's tau
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asymptotic relative efficiency
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numerical approximations
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0.8577341437339783
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0.8490326404571533
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0.8415926694869995
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0.8372169733047485
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