A GLM approach to estimating copula models

DOI10.1080/03610918.2013.824588zbMATH Open1328.62132OpenAlexW2068156653MaRDI QIDQ5265817FDOQ5265817

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

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zbMATH Keywords

copulaparameter estimationGLMquantile regression 2010

Mathematics Subject Classification ID

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

Cites Work

• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Testing Statistical Hypotheses
• Comparison of semiparametric and parametric methods for estimating copulas
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Semiparametric estimation in copula models
• Copula-based nonlinear quantile autoregression
• Frank's family of bivariate distributions
• Understanding Relationships Using Copulas
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• A semiparametric estimation of copula models based on the method of moments
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Cited In (2)

• Title not available (Why is that?)
• An optimal co-reinsurance strategy

Uses Software

• R

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