An algorithm for constructing high dimensional distributions from distributions of lower dimension

DOI10.1016/J.ECONLET.2014.02.022MaRDI QIDQ397919zbMATH OpenOpenAlexFDO

Authors Stanislav Anatolyev, Renat Khabibullin, Artem Prokhorov

Publication date 12 August 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.02.022

zbMATH Keywords

pseudo-likelihoodmultivariate distributioncopulas

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• A note on pseudolikelihood constructed from marginal densities
• An introduction to copulas.
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Composite likelihood estimation in multivariate data analysis
• Dependence structures for multivariate high-frequency data in finance
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• Optimal prediction pools
• Pair-copula constructions of multiple dependence
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Some advances in the study of the compatibility of three bivariate copulas

Cited in

(3)

• Estimation of hierarchical Archimedean copulas as a shortest path problem
• A fast algorithm for generating a uniform distribution inside a high-dimensional polytope
• Kernel Bayesian ART and ARTMAP

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