Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models

DOI10.1111/SJOS.12498MaRDI QIDQ5042675zbMATH OpenOpenAlexFDO

Authors Marek Omelka, Šárka Hudecová, Natalie Neumeyer

Publication date 25 October 2022

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.04221

zbMATH Keywords

asymptotic normalitycopulamethod of momentspseudo-likelihoodresiduals

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(6)

• Parametric copula adjusted for non- and semiparametric regression
• Inference for elliptical copula multivariate response regression models
• Maximum pseudo-likelihood estimation based on estimated residuals in copula semiparametric models
• Semiparametric copula models applied to the decomposition of claim amounts
• Tree-based conditional copula estimation
• A Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas

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