Derivatives and Fisher information of bivariate copulas
From MaRDI portal
Publication:744776
DOI10.1007/s00362-013-0498-xzbMath1297.62046OpenAlexW2025420088MaRDI QIDQ744776
Publication date: 26 September 2014
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-013-0498-x
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Parametric inference (62F99)
Related Items
Variational inference for high dimensional structured factor copulas, A new class of copula regression models for modelling multivariate heavy-tailed data, Dependent defaults and losses with factor copula models, Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses, Parametric and semiparametric copula-based models for the regression analysis of competing risks, Fully and empirical Bayes approaches to estimating copula-based models for bivariate mixed outcomes using Hamiltonian Monte Carlo, A Legendre multiwavelets approach to copula density estimation, Optimal designs for copula models, Copula-based inference for bivariate survival data with left truncation and dependent censoring, Bayesian ridge regression for survival data based on a vine copula-based prior, Estimation of Copulas via Maximum Mean Discrepancy, Estimating standard errors in regular vine copula models, Total loss estimation using copula-based regression models, A consistent track-to-track fusion method based on copula theory, Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach, Derivatives and Fisher information of bivariate copulas, Unnamed Item, Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients, Estimation of a common mean vector in bivariate meta-analysis under the FGM copula, Generalized information matrix tests for copulas, Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Beyond simplified pair-copula constructions
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Derivatives and Fisher information of bivariate copulas
- An introduction to copulas.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Bayesian copula selection
- Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
- Regime switches in the dependence structure of multidimensional financial data
- Nonparametric estimation of pair-copula constructions with the empirical pair-copula
- Vines -- a new graphical model for dependent random variables.
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Objective priors for the bivariate normal model
- Fisher information for the elliptically symmetric Pearson distributions
- A mixed copula model for insurance claims and claim sizes
- Simulating Copulas
- The t Copula and Related Copulas
- Computational Experience with Confidence Regions and Confidence Intervals for Nonlinear Least Squares
- Fisher Information for a Bivariate Extreme Value Distribution
- Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
- An adaptive algorithm for the approximate calculation of multiple integrals
- Invariance Theorems for Fisher Information
- Maximization by Parts in Likelihood Inference
