A GLM approach to estimating copula models

DOI10.1080/03610918.2013.824588MaRDI QIDQ5265817zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

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

Cited in

(5)

• An optimal co-reinsurance strategy
• A GLM-based method to estimate a copula's parameter(s)
• Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula
• A new class of copulas involved geometric distribution: estimation and applications
• scientific article; zbMATH DE number 7255570 (Why is no real title available?)

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