Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data

DOI10.1007/s00362-009-0279-8zbMath1230.62028MaRDI QIDQ641791

Claudia Czado, Rada Dakovic

Publication date: 25 October 2011

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0279-8

zbMATH Keywords

efficiency; Hessian; Fisher information; maximum likelihood; semiparametric estimation; bivariate \(t\)-copula

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62F25: Parametric tolerance and confidence regions

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62F40: Bootstrap, jackknife and other resampling methods

62G09: Nonparametric statistical resampling methods

Related Items

A Legendre multiwavelets approach to copula density estimation, Jackknife empirical likelihood for parametric copulas

Uses Software

• LBFGS-B
• QRM
• bootstrap

Cites Work

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• Pair-copula constructions of multiple dependence
• Bayesian copulae distributions, with application to operational risk management
• On nonparametric measures of dependence for random variables
• Ordinal Measures of Association
• The t Copula and Related Copulas
• Multivariate T-Distributions and Their Applications
• A Limited Memory Algorithm for Bound Constrained Optimization