Statistical properties of parametric estimators for Markov chain vectors based on copula models
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Publication:2270270
DOI10.1016/j.jspi.2009.12.002zbMath1185.62151OpenAlexW2017104501MaRDI QIDQ2270270
Publication date: 18 March 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2009.12.002
Asymptotic properties of parametric estimators (62F12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)
Related Items (6)
Multivariate Markov families of copulas ⋮ A review of copula models for economic time series ⋮ Copula-based semiparametric models for multivariate time series ⋮ A copula-based model of speculative price dynamics in discrete time ⋮ Vine Copula Specifications for Stationary Multivariate Markov Chains ⋮ Tail dependence for skew Laplace distribution and skew Cauchy distribution
Uses Software
Cites Work
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