Estimation and inference for dependence in multivariate data

DOI10.1016/j.jmva.2009.11.005zbMath1181.62081OpenAlexW2058760223MaRDI QIDQ2267587

Taras Bodnar, Olha Bodnar, Arjun K. Gupta

Publication date: 1 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.11.005

zbMATH Keywords

correlation matrixGaussian copulacanonical correlationstest of independencemultivariate copulaestimation and inference proceduremultivariate non-normal distributionpseudo-maximum likelihood method

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (4)

Estimation and inference on the joint conditional distribution for bivariate longitudinal data using Gaussian copula ⋮ Gaussian copula marginal regression ⋮ Gaussian copula distributions for mixed data, with application in discrimination ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of copula-based semiparametric time series models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Asymptotic normality of nonparametric tests for independence
• Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
• A multivariate skew normal distribution.
• A class of multivariate skew-normal models
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Better Bootstrap Confidence Intervals
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The multivariate skew-normal distribution
• Multivariate skewt-distribution
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Efficient Estimation of Semiparametric Multivariate Copula Models
• RELATIONS BETWEEN TWO SETS OF VARIATES

This page was built for publication: Estimation and inference for dependence in multivariate data