Comparison of three semiparametric methods for estimating dependence parameters in copula models

DOI10.1016/j.insmatheco.2010.03.008zbMath1231.62044OpenAlexW2050805286MaRDI QIDQ661208

Jun Yan, Ivan Kojadinovic

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.008

zbMATH Keywords

ranksasymptotic relative efficiencyKendall's taunumerical approximationspseudo-likelihoodpseudo-observationsSpearman's rho

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Point estimation (62F10)

Related Items (18)

Estimation of risk measures in energy portfolios using modern copula techniques ⋮ ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS ⋮ A method for constructing higher-dimensional copulas ⋮ Choice of smoothing parameter in multivariate copula-based tail coefficients ⋮ A goodness-of-fit test based on Bézier curve estimation of Kendall distribution ⋮ Smoothed bootstrap methods for bivariate data ⋮ A goodness-of-fit test for bivariate extreme-value copulas ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ A new bivariate Archimedean copula with application to the evaluation of VaR ⋮ Statistical inference for dependent stress-strength reliability of multi-state system using generalized survival signature ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Reliability estimation of multicomponent stress-strength model based on copula function under progressively hybrid censoring ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ Classical and Bayesian inference of a mixture of bivariate exponentiated exponential model ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data ⋮ Inference for stress-strength reliability of multi-state system with dependent stresses and strengths using improved generalized survival signature ⋮ Copula shrinkage and portfolio allocation in ultra-high dimensions ⋮ A GLM Approach to Estimating Copula Models

Uses Software

• R
• copula
• pspline
• copula

Cites Work

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• A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
• Comparison of semiparametric and parametric methods for estimating copulas
• Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
• Computing the nonnull asymptotic variance and the asymptotic relative efficiency of Spearman's rank correlation
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• The t Copula and Related Copulas
• Local Power Analyses of Goodness‐of‐fit Tests for Copulas
• Frank's family of bivariate distributions
• Transformation of non positive semidefinite correlation matrices
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Penalized regression with model-based penalties
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Asymptotic Normality of Nonparametric Tests for Independence
• Understanding Relationships Using Copulas
• Semiparametric estimation in copula models
• Efficient Estimation of Semiparametric Multivariate Copula Models

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