SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
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Publication:5449892
DOI10.1111/j.1467-842X.2007.00483.xzbMath1136.62032MaRDI QIDQ5449892
Gunky Kim, Mervyn J. Silvapullé, Paramsothy Silvapulle
Publication date: 19 March 2008
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)
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A copula approach for dependence modeling in multivariate nonparametric time series ⋮ Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models ⋮ Estimating the error distribution in multivariate heteroscedastic time-series models
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Cites Work
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