A GLM Approach to Estimating Copula Models

DOI10.1080/03610918.2013.824588zbMath1328.62132OpenAlexW2068156653MaRDI QIDQ5265817

Amir T. Payandeh Najafabadi, Marjan Qazvini

Publication date: 29 July 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.824588

zbMATH Keywords

copulaparameter estimationGLMquantile regression 2010

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Point estimation (62F10) Generalized linear models (logistic models) (62J12)

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Uses Software

• R

Cites Work

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• Comparison of semiparametric and parametric methods for estimating copulas
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• Copula-based nonlinear quantile autoregression
• Frank's family of bivariate distributions
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Testing Statistical Hypotheses
• Understanding Relationships Using Copulas
• Semiparametric estimation in copula models