STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY

DOI10.1017/asb.2013.6zbMath1282.62146OpenAlexW2115637683MaRDI QIDQ5398345

Paul Embrechts, Marius Hofert

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/291514/files/S0515036113000068.pdf

zbMATH Keywords

confidence intervalsmaximum likelihood estimatorhigh dimensionsmaximum pseudo-likelihood estimatorinference functions for marginsKendall's tau estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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