Identifiability and estimation of meta-elliptical copula generators

DOI10.1016/j.jmva.2022.104962zbMath1493.62270arXiv2106.12367OpenAlexW3175666318MaRDI QIDQ110522

J.-D. Fermanian, A. Derumigny, Jean-David Fermanian, Alexis Derumigny

Publication date: July 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.12367

zbMATH Keywords

recursive algorithmidentifiabilityelliptical generatormeta-elliptical copulas

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

Conditional empirical copula processes and generalized measures of association, ElliptCopulas

Uses Software

• ElliptCopulas

Cites Work

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