Likelihood inference for Archimedean copulas in high dimensions under known margins

DOI10.1016/j.jmva.2012.02.019zbMath1244.62073OpenAlexW2057307483MaRDI QIDQ443788

Alexander J. McNeil, Marius Hofert, Martin B. Mächler

Publication date: 13 August 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.02.019

zbMATH Keywords

confidence intervalsmaximum-likelihood estimationmulti-parameter families

Mathematics Subject Classification ID

Related Items (43)

Quasi-random numbers for copula models ⋮ Uncertainty quantification for the family-wise error rate in multivariate copula models ⋮ Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties ⋮ Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family ⋮ Model-based clustering using copulas with applications ⋮ Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence ⋮ Bivariate Birnbaum-Saunders accelerated lifetime model: estimation and diagnostic analysis ⋮ Bivariate copulas on the Hotelling's T² control chart ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Sampling from Archimedean n-copulas ⋮ Hierarchical Archimax copulas ⋮ Densities of nested Archimedean copulas ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications ⋮ A new class of copulas involved geometric distribution: estimation and applications ⋮ Inference for accelerated bivariate dependent competing risks model based on Archimedean copulas under progressive censoring ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ Copula modeling from Abe Sklar to the present day ⋮ Bayesian estimation of Archimedean copula-based SUR quantile models ⋮ A review of copula models for economic time series ⋮ Generalised joint regression for count data: a penalty extension for competitive settings ⋮ False discovery rate control under Archimedean copula ⋮ Unnamed Item ⋮ STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY ⋮ A general approach to generate random variates for multivariate copulae ⋮ Hierarchical Kendall copulas: Properties and inference ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Conditional copula simulation for systemic risk stress testing ⋮ Multivariate copulas on the MCUSUM control chart ⋮ Right-truncated Archimedean and related copulas ⋮ A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving ⋮ Derivatives and Fisher information of bivariate copulas ⋮ nacopula ⋮ Integral generators of Archimedean n-copulas ⋮ Estimation of risk contributions with MCMC ⋮ Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins ⋮ Unit level small area estimation with copulas ⋮ Generalized information matrix tests for copulas ⋮ The design of multiple crop insurance in Indonesia based on revenue risk using the copula model approach ⋮ Copula representation of bivariateL-moments: a new estimation method for multiparameter two-dimensional copula models ⋮ Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review

Uses Software

• R
• copula
• QRM
• copula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness-of-fit tests for copulas: A review and a power study
• Efficiently sampling nested Archimedean copulas
• Erratum to ``Construction of asymmetric multivariate copulas
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Exponential polynomials, Stirling numbers, and evaluation of some gamma integrals
• Dependence and order in families of Archimedean copulas
• On Kendall's process
• Multivariate distributions from mixtures of max-infinitely divisible distributions
• ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS
• CDO pricing with nested Archimedean copulas
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Hierarchies of Archimedean copulas
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• Statistical Models
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Fisher information for a multivariate extreme value distribution
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• Simulating from Exchangeable Archimedean Copulas
• Semiparametric estimation in copula models
• Comments on: Inference in multivariate Archimedean copula models

This page was built for publication: Likelihood inference for Archimedean copulas in high dimensions under known margins