Jackknife empirical likelihood method for copulas

DOI10.1007/S11749-011-0236-4MaRDI QIDQ1944367zbMATH OpenOpenAlexFDO

Authors Liang Peng, Yongcheng Qi, Ingrid Van Keilegom

Publication date 5 April 2013

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-011-0236-4

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Bivariate option pricing using dynamic copula models
• Copula credibility for aggregate loss models
• Empirical likelihood based confidence intervals for copulas
• Empirical likelihood for non-smooth criterion functions
• Empirical likelihood ratio confidence intervals for a single functional
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Jackknife Empirical Likelihood
• Measurement of aggregate risk with copulas
• Modelling sample selection using Archimedean copulas
• Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts*
• Nonparametric estimation of copula functions for dependence modelling
• On using the jackknife to estimate quantile variance
• The Use of Archimedean Copulas to Model Portfolio Allocations
• The jackknife and bootstrap
• Weak convergence of empirical copula processes

Cited in

(21)

• Jackknife empirical likelihood tests for error distributions in regression models
• Statistical models and methods for dependence in insurance data
• Smoothed jackknife empirical likelihood method for tail copulas
• Empirical likelihood for linear transformation models with interval-censored failure time data
• Empirical likelihood based confidence intervals for copulas
• Jackknife Empirical Likelihood
• Jackknife empirical likelihood inference for the mean absolute deviation
• Jackknife empirical likelihood of error variance for partially linear varying-coefficient model with missing covariates
• Jackknife empirical likelihood for parametric copulas
• Empirical Likelihood and Uniform Convergence Rates for Dyadic Kernel Density Estimation
• Statistical Inference for a Relative Risk Measure
• Jackknife empirical likelihood method for some risk measures and related quantities
• Jackknifing for partially linear varying-coefficient errors-in-variables model with missing response at random
• On copula moment: empirical likelihood based estimation method
• Empirical likelihood based confidence regions for functional of copulas
• Reduce computation in profile empirical likelihood method
• Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
• Jackknife empirical likelihood of error variance in partially linear varying-coefficient errors-in-variables models
• Approximate jackknife empirical likelihood method for estimating equations
• A review of recent advances in empirical likelihood
• Jackknife Euclidean likelihood-based inference for Spearman's rho

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