Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study

DOI10.1080/00207160.2013.770148MaRDI QIDQ5416442zbMATH OpenOpenAlexFDO

Authors Raluca Vernic, Elena Pelican

Publication date 20 May 2014

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2013.770148

zbMATH Keywords

data simulationmaximum-likelihood methodmethod of momentsparameters estimationSarmanov distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Random number generation in numerical analysis (65C10)

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Cites work

• An introduction to copulas.
• scientific article; zbMATH DE number 3269388 (Why is no real title available?)
• On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions
• Probability distributions with given multivariate marginals
• Proof of the Ergodic Theorem
• Properties and applications of the sarmanov family of bivariate distributions
• The net Bayes premium with dependence between the risk profiles
• TVaR-based capital allocation with copulas

Cited in

(9)

• On the distribution of a sum of Sarmanov distributed random variables
• On the bivariate Sarmanov distribution and copula. an application on insurance data using truncated marginal distributions
• Parameters estimation for the bivariate Sarmanov distribution with normal-type marginals
• Recent developments on the construction of bivariate distributions with fixed marginals
• scientific article; zbMATH DE number 1179829 (Why is no real title available?)
• A class of mixture models for multidimensional ordinal data
• Capital allocation for Sarmanov's class of distributions
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• The loss given default of a low-default portfolio with weak contagion

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