Jackknife empirical likelihood method for copulas

DOI10.1007/S11749-011-0236-4zbMATH Open1259.62026OpenAlexW2167525188MaRDI QIDQ1944367FDOQ1944367

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

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Mathematics Subject Classification ID

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

Cites Work

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• Weak convergence of empirical copula processes
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• Nonparametric estimation of copula functions for dependence modelling
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• Empirical likelihood ratio confidence intervals for a single functional
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• The jackknife and bootstrap
• Bivariate option pricing using dynamic copula models
• Measurement of aggregate risk with copulas
• Jackknife Empirical Likelihood
• Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts*
• Modelling sample selection using Archimedean copulas
• The Use of Archimedean Copulas to Model Portfolio Allocations
• Empirical likelihood based confidence intervals for copulas
• Copula credibility for aggregate loss models
• Empirical likelihood for non-smooth criterion functions
• On using the jackknife to estimate quantile variance

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
• A review of recent advances in empirical likelihood
• Approximate jackknife empirical likelihood method for estimating equations
• Jackknife empirical likelihood of error variance in partially linear varying-coefficient errors-in-variables models
• Jackknife Euclidean likelihood-based inference for Spearman's rho

Uses Software

• QRM

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