Statistical properties of semiparametric estimators for copula-based Markov chain vectors models

MaRDI QIDQ5299787zbMATH OpenFDO

Authors Wende Yi, B. Stephen Shaoyi Liao

Publication date 21 June 2013

zbMATH Keywords

copulasemiparametric estimationtemporal dependencecontemporaneous dependenceand 2SSPPMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

Recommendations

• Estimation of copula-based semiparametric time series models
• Efficient estimation of copula-based semiparametric Markov models
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Cited in

(6)

• Skew-\(t\) copula-based semiparametric Markov chains
• Efficient estimation of copula-based semiparametric Markov models
• Statistical properties of parametric estimators for Markov chain vectors based on copula models
• Modeling statistical dependence of Markov chains via copula models
• Semi-parametric copula-based models under non-stationarity
• Estimation of copula-based semiparametric time series models

Describes a project that uses

Uses Software

• CAViaR

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