On copula moment: empirical likelihood based estimation method

DOI10.1108/AJMS-01-2021-0025MaRDI QIDQ5095867zbMATH OpenOpenAlexFDO

Authors Jihane Abdelli, B. Brahimi

Publication date 11 August 2022

Published in Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/ajms-01-2021-0025

zbMATH Keywords

\(Z\)-estimatorArchimedean copulasasymptotic distributioncopula modelsmethod of momentssemi-parametric models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• A semiparametric estimation of copula models based on the method of moments
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An empirical likelihood approach for non-Gaussian vector stationary processes and its application to minimum contrast estimation
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• Asymptotic efficiency of the two-stage estimation method for copula-based models
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• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood for linear models
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
• Frank's family of bivariate distributions
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• scientific article; zbMATH DE number 3793223 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Semiparametric estimation in copula models

Cited in

(2)

• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Empirical likelihood based confidence intervals for copulas

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