Comparison of three semiparametric methods for estimating dependence parameters in copula models
From MaRDI portal
Publication:661208
DOI10.1016/j.insmatheco.2010.03.008zbMath1231.62044MaRDI QIDQ661208
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
ranks; asymptotic relative efficiency; Kendall's tau; numerical approximations; pseudo-likelihood; pseudo-observations; Spearman's rho
62G05: Nonparametric estimation
62H20: Measures of association (correlation, canonical correlation, etc.)
62F10: Point estimation
Uses Software