A semiparametric estimation of copula models based on the method of moments
From MaRDI portal
Publication:2360899
Abstract: Using the classical estimation method of moments, we propose a new semiparametric estimation procedure for multi-parameter copula models. Consistency and asymptotic normality of the obtained estimators are established. By considering an Archimedean copula model, an extensive simulation study, comparing these estimators with the pseudo maximum likelihood, rho-inversion and tau-inversion ones, is carried out. We show that, with regards to the other methods, the moment based estimation is quick and simple to use with reasonable bias and root mean squared error.
Recommendations
- A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method
- Semiparametric estimation in copula models
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Semiparametric estimation of the parameters of multivariate copulas
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
Cites work
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas.
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Asymptotic Statistics
- Comparison of semiparametric and parametric methods for estimating copulas
- Frank's family of bivariate distributions
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 3656971 (Why is no real title available?)
- scientific article; zbMATH DE number 3793223 (Why is no real title available?)
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Semiparametric estimation in copula models
- Weak convergence and empirical processes. With applications to statistics
Cited in
(23)- Comparison of semiparametric and parametric methods for estimating copulas
- Efficient estimation of copula-based semiparametric Markov models
- Moment redundancy test with application to efficiency-improving copulas
- A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method
- An algorithm to estimate the vertices of a tetrahedron from uniform random points inside
- A copula approach for dependence modeling in multivariate nonparametric time series
- Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
- Efficient estimation of a semiparametric dynamic copula model
- Approximations of copulas via transformed moments
- Two approaches to the estimation of the parameters of copulas
- A GLM-based method to estimate a copula's parameter(s)
- Moment estimation of parameters of copulas
- Semiparametric Estimation in Copulas with the Same Marginals
- On copula moment: empirical likelihood based estimation method
- Copula representation of bivariate L-moments: a new estimation method for multiparameter two-dimensional copula models
- A GLM approach to estimating copula models
- Bivariate copulas parameters estimation using the trimmed L-moments method
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Semiparametric estimation in copula models
- Local dependence estimation using semiparametric archimedean copulas
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- Generalized simulated method-of-moments estimators for multivariate copulas
- Association measures and estimation of copula parameters
This page was built for publication: A semiparametric estimation of copula models based on the method of moments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2360899)
